Dimension reduction for conditional mean in regression

• 成果类型: Article
• 署名作者: Cook, RD; Bing, L
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1021379861
• 发表日期: 2002
• 页码: 455-474
• 关键词: principal hessian directions; Sliced Inverse Regression

摘要

In many situations regression analysis is mostly concerned with inferring about the conditional mean of the response given the predictors, and less concerned with the other aspects of the conditional distribution. In this paper we develop dimension reduction methods that incorporate this consideration. We introduce the notion of the Central Mean Subspace (CMS), a natural inferential object for dimension reduction when the mean function is of interest. We study properties of the CMS, and develop methods to estimate it. These methods include a new class of estimators which requires fewer conditions than pHd, and which displays a clear advantage when one of the conditions for pHd is violated. CMS also reveals a transparent distinction among the existing methods for dimension reduction: OLS, pHd, SIR and SAVE. We apply the new methods to a data set involving recumbent cows.