PRINCIPAL SUPPORT VECTOR MACHINES FOR LINEAR AND NONLINEAR SUFFICIENT DIMENSION REDUCTION

• 成果类型: Article
• 署名作者: Li, Bing; Artemiou, Andreas; Li, Lexin
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; Michigan Technological University; North Carolina State University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/11-AOS932
• 发表日期: 2011
• 页码: 3182-3210
• 关键词: sliced inverse regression; variable selection; EQUATIONS; matrix

摘要

We introduce a principal support vector machine (PSVM) approach that can be used for both linear and nonlinear sufficient dimension reduction. The basic idea is to divide the response variables into slices and use a modified form of support vector machine to find the optimal hyperplanes that separate them. These optimal hyperplanes are then aligned by the principal components of their normal vectors. It is proved that the aligned normal vectors provide an unbiased, root n-consistent, and asymptotically normal estimator of the sufficient dimension reduction space. The method is then generalized to nonlinear sufficient dimension reduction using the reproducing kernel Hilbert space. In that context, the aligned normal vectors become functions and it is proved that they are unbiased in the sense that they are functions of the true nonlinear sufficient predictors. We compare PSVM with other sufficient dimension reduction methods by simulation and in real data analysis, and through both comparisons firmly establish its practical advantages.