Direction estimation in single-index regressions

• 成果类型: Article
• 署名作者: Yin, XR; Cook, RD
• 署名单位: University System of Georgia; University of Georgia; University of Minnesota System; University of Minnesota Twin Cities
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/92.2.371
• 发表日期: 2005
• 页码: 371384
• 关键词: sliced inverse regression; Dimension Reduction; density; Consistency

摘要

We propose a general dimension-reduction method that combines the ideas of likelihood, correlation, inverse regression and information theory. We do not require that the dependence be confined to particular conditional moments, nor do we place restrictions on the predictors or on the regression that are necessary for methods like ordinary least squares and sliced-inverse regression. Although we focus on single-index regressions, the underlying idea is applicable more generally. Illustrative examples are presented.