Asymptotic distribution of test statistic for the covariance dimension reduction methods in regression
Yin and Cook (J. Roy. Statist. Soc. Ser. B Part 2 64 (2002) 159) recently introduced a new dimension reduction method for regression called Covk. Here, we develop the asymptotic distribution of the Covk test statistic for dimension under weak assumptions. This serves as an analytic counterpart to the permutation test suggested by Yin and Cook.
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Volume (Year): 68 (2004)
Issue (Month): 4 (July)
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- Xiangrong Yin & R. Dennis Cook, 2002. "Dimension reduction for the conditional "k"th moment in regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 159-175.
- Eaton, M. L. & Tyler, D., 1994. "The Asymptotic Distribution of Singular-Values with Applications to Canonical Correlations and Correspondence Analysis," Journal of Multivariate Analysis, Elsevier, vol. 50(2), pages 238-264, August.
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