Subspace Estimation with Automatic Dimension and Variable Selection in Sufficient Dimension Reduction

• 成果类型: Article
• 署名作者: Zeng, Jing; Mai, Qing; Zhang, Xin
• 署名单位: Chinese Academy of Sciences; University of Science & Technology of China, CAS; State University System of Florida; Florida State University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2022.2118601
• 发表日期: 2024
• 页码: 343-355
• 关键词: sliced inverse regression; rates

摘要

Sufficient dimension reduction (SDR) methods target finding lower-dimensional representations of a multivariate predictor to preserve all the information about the conditional distribution of the response given the predictor. The reduction is commonly achieved by projecting the predictor onto a low-dimensional subspace. The smallest such subspace is known as the Central Subspace (CS) and is the key parameter of interest for most SDR methods. In this article, we propose a unified and flexible framework for estimating the CS in high dimensions. Our approach generalizes a wide range of model-based and model-free SDR methods to high-dimensional settings, where the CS is assumed to involve only a subset of the predictors. We formulate the problem as a quadratic convex optimization so that the global solution is feasible. The proposed estimation procedure simultaneously achieves the structural dimension selection and coordinate-independent variable selection of the CS. Theoretically, our method achieves dimension selection, variable selection, and subspace estimation consistency at a high convergence rate under mild conditions. We demonstrate the effectiveness and efficiency of our method with extensive simulation studies and real data examples. for this article are available online.