A new sliced inverse regression method for multivariate response - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Computational Statistics and Data Analysis Year : 2014

A new sliced inverse regression method for multivariate response

Abstract

A semiparametric regression model of a q-dimensional multivariate response y on a p-dimensional covariate x is considered. A new approach is proposed based on sliced inverse regression (SIR) for estimating the effective dimension reduction (EDR) space without requiring a prespecified parametric model. The convergence at rate square root of n of the estimated EDR space is shown. The choice of the dimension of the EDR space is discussed. Moreover, a way to cluster components of y related to the same EDR space is provided. Thus, the proposed multivariate SIR method can be used properly on each cluster instead of blindly applying it on all components of y. The numerical performances of multivariate SIR are illustrated on a simulation study. Applications to a remote sensing dataset and to the Minneapolis elementary schools data are also provided. Although the proposed methodology relies on SIR, it opens the door for new regression approaches with a multivariate response.
Fichier principal
Vignette du fichier
multivariateSIR-2013.pdf (1.07 Mo) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-00714981 , version 1 (06-07-2012)
hal-00714981 , version 2 (06-03-2013)
hal-00714981 , version 3 (05-10-2013)

Identifiers

Cite

Raphaël Coudret, Stéphane Girard, Jerome Saracco. A new sliced inverse regression method for multivariate response. Computational Statistics and Data Analysis, 2014, 77, pp.285-299. ⟨10.1016/j.csda.2014.03.006⟩. ⟨hal-00714981v3⟩
729 View
991 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More