IDEAS home Printed from https://ideas.repec.org/a/taf/jnlasa/v110y2015i509p420-434.html
   My bibliography  Save this article

Sufficient Reductions in Regressions With Elliptically Contoured Inverse Predictors

Author

Listed:
  • Efstathia Bura
  • Liliana Forzani

Abstract

There are two general approaches based on inverse regression for estimating the linear sufficient reductions for the regression of Y on X : the moment-based approach such as SIR, PIR, SAVE, and DR, and the likelihood-based approach such as principal fitted components (PFC) and likelihood acquired directions (LAD) when the inverse predictors, X &7C Y , are normal. By construction, these methods extract information from the first two conditional moments of X &7C Y ; they can only estimate linear reductions and thus form the linear sufficient dimension reduction (SDR) methodology. When var( X &7CY) is constant, E( X &7CY) contains the reduction and it can be estimated using PFC. When var( X &7CY) is nonconstant, PFC misses the information in the variance and second moment based methods (SAVE, DR, LAD) are used instead, resulting in efficiency loss in the estimation of the mean-based reduction. In this article we prove that (a) if X &7C Y is elliptically contoured with parameters and density g Y , there is no linear nontrivial sufficient reduction except if g Y is the normal density with constant variance; (b) for nonnormal elliptically contoured data, all existing linear SDR methods only estimate part of the reduction; (c) a sufficient reduction of X for the regression of Y on X comprises of a linear and a nonlinear component.

Suggested Citation

  • Efstathia Bura & Liliana Forzani, 2015. "Sufficient Reductions in Regressions With Elliptically Contoured Inverse Predictors," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 420-434, March.
  • Handle: RePEc:taf:jnlasa:v:110:y:2015:i:509:p:420-434
    DOI: 10.1080/01621459.2014.914440
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/01621459.2014.914440
    Download Restriction: Access to full text is restricted to subscribers.

    File URL: https://libkey.io/10.1080/01621459.2014.914440?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Andrea Bergesio & María Eugenia Szretter Noste & Víctor J. Yohai, 2021. "A robust proposal of estimation for the sufficient dimension reduction problem," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(3), pages 758-783, September.
    2. Diego Tomassi & Liliana Forzani & Efstathia Bura & Ruth Pfeiffer, 2017. "Sufficient dimension reduction for censored predictors," Biometrics, The International Biometric Society, vol. 73(1), pages 220-231, March.
    3. Kapla, Daniel & Fertl, Lukas & Bura, Efstathia, 2022. "Fusing sufficient dimension reduction with neural networks," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
    4. Li, Junlan & Wang, Tao, 2021. "Dimension reduction in binary response regression: A joint modeling approach," Computational Statistics & Data Analysis, Elsevier, vol. 156(C).
    5. Szretter Noste, María Eugenia, 2019. "Using DAGs to identify the sufficient dimension reduction in the Principal Fitted Components model," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 317-320.
    6. Girard, Stéphane & Lorenzo, Hadrien & Saracco, Jérôme, 2022. "Advanced topics in Sliced Inverse Regression," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    7. Alessandro Barbarino & Efstathia Bura, 2017. "A Unified Framework for Dimension Reduction in Forecasting," Finance and Economics Discussion Series 2017-004, Board of Governors of the Federal Reserve System (U.S.).
    8. Sabrina Duarte & Liliana Forzani & Pamela Llop & Rodrigo García Arancibia & Diego Tomassi, 2023. "Socioeconomic Index for Income and Poverty Prediction: A Sufficient Dimension Reduction Approach," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 69(2), pages 318-346, June.
    9. Alessandro Barbarino & Efstathia Bura, 2015. "Forecasting with Sufficient Dimension Reductions," Finance and Economics Discussion Series 2015-74, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:jnlasa:v:110:y:2015:i:509:p:420-434. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/UASA20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.