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General directional regression

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Listed:
  • Yu, Zhou
  • Dong, Yuexiao
  • Huang, Mian

Abstract

Directional regression is an effective sufficient dimension reduction method which implicitly synthesizes the first two conditional moments. In this paper, we extend directional regression to a general family of estimators via the notion of general empirical directions. Data-driven method is used to identify the optimal estimator within this family. Based on the proposed general directional regression estimators, we develop a new methodology for nonlinear dimension reduction. Improvement of general directional regression over classical directional regression is demonstrated via simulation studies and an empirical study with the wine recognition data.

Suggested Citation

  • Yu, Zhou & Dong, Yuexiao & Huang, Mian, 2014. "General directional regression," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 94-104.
    • Handle: RePEc:eee:jmvana:v:124:y:2014:i:c:p:94-104
    DOI: 10.1016/j.jmva.2013.10.016
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    References listed on IDEAS

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