The Annals of Statistics

Dimension reduction for conditional mean in regression

R.Dennis Cook and Bing Li

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Abstract

In many situations regression analysis is mostly concerned with inferring about the conditional mean of the response given the predictors, and less concerned with the other aspects of the conditional distribution. In this paper we develop dimension reduction methods that incorporate this consideration. We introduce the notion of the Central Mean Subspace (CMS), a natural inferential object for dimension reduction when the mean function is of interest. We study properties of the CMS, and develop methods to estimate it. These methods include a new class of estimators which requires fewer conditions than pHd, and which displays a clear advantage when one of the conditions for pHd is violated. CMS also reveals a transparent distinction among the existing methods for dimension reduction: OLS, pHd, SIR and SAVE. We apply the new methods to a data set involving recumbent cows.

Article information

Source
Ann. Statist. Volume 30, Number 2 (2002), 455-474.

Dates
First available in Project Euclid: 14 May 2002

Permanent link to this document
http://projecteuclid.org/euclid.aos/1021379861

Digital Object Identifier
doi:10.1214/aos/1021379861

Mathematical Reviews number (MathSciNet)
MR1902895

Zentralblatt MATH identifier
1012.62035

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 62-09: Graphical methods 62H05: Characterization and structure theory

Keywords
Central subspace graphics regression pHd SAVE SIR visualization

Citation

Cook, R.Dennis; Li, Bing. Dimension reduction for conditional mean in regression. Ann. Statist. 30 (2002), no. 2, 455--474. doi:10.1214/aos/1021379861. http://projecteuclid.org/euclid.aos/1021379861.


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References

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