On kernel method for sliced average variance estimation
In this paper, we use the kernel method to estimate sliced average variance estimation (SAVE) and prove that this estimator is both asymptotically normal and root n consistent. We use this kernel estimator to provide more insight about the differences between slicing estimation and other sophisticated local smoothing methods. Finally, we suggest a Bayes information criterion (BIC) to estimate the dimensionality of SAVE. Examples and real data are presented for illustrating our method.
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Volume (Year): 98 (2007)
Issue (Month): 5 (May)
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References listed on IDEAS
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- Ye Z. & Weiss R.E., 2003. "Using the Bootstrap to Select One of a New Class of Dimension Reduction Methods," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 968-979, January.
- Zhao, L. C. & Krishnaiah, P. R. & Bai, Z. D., 1986. "On detection of the number of signals in presence of white noise," Journal of Multivariate Analysis, Elsevier, vol. 20(1), pages 1-25, October.
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- Zhu, Lixing & Miao, Baiqi & Peng, Heng, 2006. "On Sliced Inverse Regression With High-Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 630-643, June.
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