Vortrag aus Archiv

Asymptotic optimality for sliced inverse regression

16.01.2012

We present a general family of methods for sufficient dimension reduction (SDR) called the test function (TF), based on the introduction of a nonlinear transformation of the response. By considering order 1 and 2 conditional moments of the predictors given the response, we distinguish two classes of methods. The optimal members of each class are calculated with respect to the asymptotic mean square error between the central subspace (CS) and its estimate.