Sliced Inverse Regression with Large Structural Dimensions

arXiv2305.04340MaRDI QIDQ6435682FDOQ6435682

Dongming Huang, Qian Lin, Songtao Tian

Publication date: 7 May 2023

Abstract: The central space of a joint distribution $(vX,Y)$ is the minimal subspace $mathcalS$ such that $Yperphspace-2mmperpvXmid{P}_{mathcalS}vX$ where $P_{mathcalS}$ is the projection onto $mathcalS$. Sliced inverse regression (SIR), one of the most popular methods for estimating the central space, often performs poorly when the structural dimension $d=operatornamedimleft(mathcalSight)$ is large (e.g., $geqs5$). In this paper, we demonstrate that the generalized signal-noise-ratio (gSNR) tends to be extremely small for a general multiple-index model when $d$ is large. Then we determine the minimax rate for estimating the central space over a large class of high dimensional distributions with a large structural dimension $d$ (i.e., there is no constant upper bound on $d$) in the low gSNR regime. This result not only extends the existing minimax rate results for estimating the central space of distributions with fixed $d$ to that with a large $d$, but also clarifies that the degradation in SIR performance is caused by the decay of signal strength. The technical tools developed here might be of independent interest for studying other central space estimation methods.

Mathematics Subject Classification ID

General nonlinear regression (62J02) Estimation in multivariate analysis (62H12) Minimax procedures in statistical decision theory (62C20)

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