Sufficient dimension reduction based on an ensemble of minimum average variance estimators

DOI10.1214/11-AOS950MaRDI QIDQ450007zbMATH OpenOpenAlexFDO

Authors Xiangrong Yin, Bing Li

Publication date 3 September 2012

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.3313, https://projecteuclid.org/euclid.aos/1330958684

zbMATH Keywords

waveletscentral subspacecharacteristic functionscentral mean subspacecharacterizing familygradient estimationprojective resampling

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Estimation in multivariate analysis (62H12)

Abstract: We introduce a class of dimension reduction estimators based on an ensemble of the minimum average variance estimates of functions that characterize the central subspace, such as the characteristic functions, the Box--Cox transformations and wavelet basis. The ensemble estimators exhaustively estimate the central subspace without imposing restrictive conditions on the predictors, and have the same convergence rate as the minimum average variance estimates. They are flexible and easy to implement, and allow repeated use of the available sample, which enhances accuracy. They are applicable to both univariate and multivariate responses in a unified form. We establish the consistency and convergence rate of these estimators, and the consistency of a cross validation criterion for order determination. We compare the ensemble estimators with other estimators in a wide variety of models, and establish their competent performance.

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Cited in

(46)

• A brief review of linear sufficient dimension reduction through optimization
• Robust dimension reduction using sliced inverse median regression
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• On expectile-assisted inverse regression estimation for sufficient dimension reduction
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