On expectile-assisted inverse regression estimation for sufficient dimension reduction
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Publication:830708
DOI10.1016/J.JSPI.2020.11.004zbMATH Open1465.62102arXiv1910.10898OpenAlexW3108882493MaRDI QIDQ830708FDOQ830708
Yuexiao Dong, Abdul-Nasah Soale
Publication date: 7 May 2021
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Abstract: Moment-based sufficient dimension reduction methods such as sliced inverse regression may not work well in the presence of heteroscedasticity. We propose to first estimate the expectiles through kernel expectile regression, and then carry out dimension reduction based on random projections of the regression expectiles. Several popular inverse regression methods in the literature are extended under this general framework. The proposed expectile-assisted methods outperform existing moment-based dimension reduction methods in both numerical studies and an analysis of the Big Mac data.
Full work available at URL: https://arxiv.org/abs/1910.10898
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sliced inverse regressionsliced average variance estimationdirectional regressionasymmetric least squaresprojective resamplingkernel expectile regression
Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)
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Cited In (5)
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