Efficient estimation of conditional covariance matrices for dimension reduction

DOI10.1080/03610926.2015.1083109zbMATH Open1368.62136arXiv1110.3238OpenAlexW2963088094MaRDI QIDQ4975151FDOQ4975151

Authors: Sébastien Da Veiga, Maikol Solís, Jean-Michel Loubes 

Publication date: 3 August 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Abstract: Let $$ and $YinmathbbR$. In this paper we propose an estimator of the conditional covariance matrix, $$, in an inverse regression setting. Based on the estimation of a quadratic functional, this methodology provides an efficient estimator from a semi parametric point of view. We consider a functional Taylor expansion of $$ under some mild conditions and the effect of using an estimate of the unknown joint distribution. The asymptotic properties of this estimator are also provided.

Full work available at URL: https://arxiv.org/abs/1110.3238

Recommendations

• A new estimator for efficient dimension reduction in regression
• A well-conditioned estimator for large-dimensional covariance matrices
• Kernel dimension reduction in regression
• A review on dimension reduction
• On efficient dimension reduction with respect to a statistical functional of interest

zbMATH Keywords

semiparametric estimationefficient estimationTaylor expansionconditional covariance matrix: inverse sliced regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

• Asymptotic Statistics
• Functional sliced inverse regression analysis
• Covariance regularization by thresholding
• Slicing regression: A link-free regression method
• Regularized estimation of large covariance matrices
• Sufficient Dimension Reduction via Inverse Regression
• Efficient estimation of integral functionals of a density
• Asymptotics for kernel estimate of sliced inverse regression
• Optimal rates of convergence for covariance matrix estimation
• Nearest neighbor inverse regression
• Efficient estimation of sensitivity indices
• Asymptotically normal families of distributions and efficient estimation
• Estimating the structural dimension of regressions via parametric inverse regression
• More on the estimation of distribution densities
• Comment

Cited In (4)

• An RKHS formulation of the inverse regression dimension-reduction problem
• K-medoids inverse regression
• The perfect marriage and much more: combining dimension reduction, distance measures and covariance
• Rates of convergence in conditional covariance matrix with nonparametric entries estimation

This page was built for publication: Efficient estimation of conditional covariance matrices for dimension reduction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4975151)