Optimal quantization applied to sliced inverse regression

DOI10.1016/J.JSPI.2011.08.006MaRDI QIDQ645618zbMATH OpenOpenAlexFDO

Authors Romain Azaïs, Anne Gégout-Petit, Jérôme Saracco

Publication date 10 November 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1101.2121

zbMATH Keywords

reduction dimensionsemiparametric regression modelSIR

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Estimation in multivariate analysis (62H12)

Abstract: In this paper we consider a semiparametric regression model involving a $d$-dimensional quantitative explanatory variable $X$ and including a dimension reduction of $X$ via an index $$. In this model, the main goal is to estimate the euclidean parameter $$ and to predict the real response variable $Y$ conditionally to $X$. Our approach is based on sliced inverse regression (SIR) method and optimal quantization in $mathbf{L}^p$-norm. We obtain the convergence of the proposed estimators of $$ and of the conditional distribution. Simulation studies show the good numerical behavior of the proposed estimators for finite sample size.

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Cited in

(9)

• A new sliced inverse regression method for multivariate response
• Quantile-slicing estimation for dimension reduction in regression
• Advanced topics in sliced inverse regression
• Conditional quantile estimation through optimal quantization
• Simultaneous estimations of optimal directions and optimal transformations for functional data
• Variable importance assessment in sliced inverse regression for variable selection
• On the asymptotic behaviour of the recursive Nadaraya-Watson estimator associated with the recursive sliced inverse regression method
• Computational Outlier Detection Methods in Sliced Inverse Regression
• Approximation error from discretizations and its applications

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