Successive direction extraction for estimating the central subspace in a multiple-index regression
In this paper we propose a dimension reduction method for estimating the directions in a multiple-index regression based on information extraction. This extends the recent work of Yin and Cook [X. Yin, R.D. Cook, Direction estimation in single-index regression, Biometrika 92 (2005) 371-384] who introduced the method and used it to estimate the direction in a single-index regression. While a formal extension seems conceptually straightforward, there is a fundamentally new aspect of our extension: We are able to show that, under the assumption of elliptical predictors, the estimation of multiple-index regressions can be decomposed into successive single-index estimation problems. This significantly reduces the computational complexity, because the nonparametric procedure involves only a one-dimensional search at each stage. In addition, we developed a permutation test to assist in estimating the dimension of a multiple-index regression.
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Volume (Year): 99 (2008)
Issue (Month): 8 (September)
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References listed on IDEAS
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- Zhu, Yu & Zeng, Peng, 2006. "Fourier Methods for Estimating the Central Subspace and the Central Mean Subspace in Regression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1638-1651, December.
- Yingcun Xia & Howell Tong & W. K. Li & Li-Xing Zhu, 2002. "An adaptive estimation of dimension reduction space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(3), pages 363-410.
- Xiangrong Yin & R. Dennis Cook, 2005. "Direction estimation in single-index regressions," Biometrika, Biometrika Trust, vol. 92(2), pages 371-384, June.
- Chunrong Ai, 1997. "A Semiparametric Maximum Likelihood Estimator," Econometrica, Econometric Society, vol. 65(4), pages 933-964, July.
- Cook, R. Dennis & Ni, Liqiang, 2005. "Sufficient Dimension Reduction via Inverse Regression: A Minimum Discrepancy Approach," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 410-428, June.
- Francesca Chiaromonte & R. Cook, 2002. "Sufficient Dimension Reduction and Graphics in Regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(4), pages 768-795, December.
- Delecroix, Michel & Härdle, Wolfgang & Hristache, Marian, 2003. "Efficient estimation in conditional single-index regression," Journal of Multivariate Analysis, Elsevier, vol. 86(2), pages 213-226, August.
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