## The Annals of Statistics

### A constructive approach to the estimation of dimension reduction directions

Yingcun Xia

#### Abstract

In this paper we propose two new methods to estimate the dimension-reduction directions of the central subspace (CS) by constructing a regression model such that the directions are all captured in the regression mean. Compared with the inverse regression estimation methods [e.g., J. Amer. Statist. Assoc. 86 (1991) 328–332, J. Amer. Statist. Assoc. 86 (1991) 316–342, J. Amer. Statist. Assoc. 87 (1992) 1025–1039], the new methods require no strong assumptions on the design of covariates or the functional relation between regressors and the response variable, and have better performance than the inverse regression estimation methods for finite samples. Compared with the direct regression estimation methods [e.g., J. Amer. Statist. Assoc. 84 (1989) 986–995, Ann. Statist. 29 (2001) 1537–1566, J. R. Stat. Soc. Ser. B Stat. Methodol. 64 (2002) 363–410], which can only estimate the directions of CS in the regression mean, the new methods can detect the directions of CS exhaustively. Consistency of the estimators and the convergence of corresponding algorithms are proved.

#### Article information

Source
Ann. Statist. Volume 35, Number 6 (2007), 2654-2690.

Dates
First available in Project Euclid: 22 January 2008

http://projecteuclid.org/euclid.aos/1201012976

Digital Object Identifier
doi:10.1214/009053607000000352

Mathematical Reviews number (MathSciNet)
MR2382662

Zentralblatt MATH identifier
05241119

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 62G09: Resampling methods 62H05: Characterization and structure theory

#### Citation

Xia, Yingcun. A constructive approach to the estimation of dimension reduction directions. Ann. Statist. 35 (2007), no. 6, 2654--2690. doi:10.1214/009053607000000352. http://projecteuclid.org/euclid.aos/1201012976.

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