On a dimension reduction regression with covariate adjustment
AbstractIn this paper, we consider a semiparametric modeling with multi-indices when neither the response nor the predictors can be directly observed and there are distortions from some multiplicative factors. In contrast to the existing methods in which the response distortion deteriorates estimation efficacy even for a simple linear model, the dimension reduction technique presented in this paper interestingly does not have to account for distortion of the response variable. The observed response can be used directly whether distortion is present or not. The resulting dimension reduction estimators are shown to be consistent and asymptotically normal. The results can be employed to test whether the central dimension reduction subspace has been estimated appropriately and whether the components in the basis directions in the space are significant. Thus, the method provides an alternative for determining the structural dimension of the subspace and for variable selection. A simulation study is carried out to assess the performance of the proposed method. The analysis of a real dataset demonstrates the potential usefulness of distortion removal.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 104 (2012)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Zhu, Li-Ping & Zhu, Li-Xing & Feng, Zheng-Hui, 2010. "Dimension Reduction in Regressions Through Cumulative Slicing Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1455-1466.
- J. Fan & J.-T. Zhang, 2000. "Two-step estimation of functional linear models with applications to longitudinal data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 303-322.
- Li, Bing & Wang, Shaoli, 2007. "On Directional Regression for Dimension Reduction," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 997-1008, September.
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