The Annals of Statistics

Dimension reduction for the conditional mean in regressions with categorical predictors

Bing Li, R. Dennis Cook, and Francesca Chiaromonte

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Abstract

Consider the regression of a response Y on a vector of quantitative predictors $\X$ and a categorical predictor W. In this article we describe a first method for reducing the dimension of $\X$ without loss of information on the conditional mean $\mathrm{E}(Y|\X,W)$ and without requiring a prespecified parametric model. The method, which allows for, but does not require, parametric versions of the subpopulation mean functions $\mathrm{E}(Y|\X,W=w)$, includes a procedure for inference about the dimension of $\X$ after reduction. This work integrates previous studies on dimension reduction for the conditional mean $\mathrm{E}(Y|\X)$ in the absence of categorical predictors and dimension reduction for the full conditional distribution of $Y|(\X,W)$. The methodology we describe may be particularly useful for constructing low-dimensional summary plots to aid in model-building at the outset of an analysis. Our proposals provide an often parsimonious alternative to the standard technique of modeling with interaction terms to adapt a mean function for different subpopulations determined by the levels of W. Examples illustrating this and other aspects of the development are presented.

Article information

Source
Ann. Statist., Volume 31, Number 5 (2003), 1636-1668.

Dates
First available in Project Euclid: 9 October 2003

Permanent link to this document
https://projecteuclid.org/euclid.aos/1065705121

Digital Object Identifier
doi:10.1214/aos/1065705121

Mathematical Reviews number (MathSciNet)
MR2012828

Zentralblatt MATH identifier
1042.62037

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

Keywords
Analysis of covariance central subspace graphics OLS SIR PHD SAVE

Citation

Li, Bing; Cook, R. Dennis; Chiaromonte, Francesca. Dimension reduction for the conditional mean in regressions with categorical predictors. Ann. Statist. 31 (2003), no. 5, 1636--1668. doi:10.1214/aos/1065705121. https://projecteuclid.org/euclid.aos/1065705121


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