Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
417175 | Computational Statistics & Data Analysis | 2008 | 10 Pages |
Abstract
Sufficient dimension reduction methodologies in regression have been developed in the past decade, focusing mostly on predictors. Here, we propose a methodology to reduce the dimension of the response vector in multivariate regression, without loss of information about the conditional mean. The asymptotic distributions of dimension test statistics are chi-squared distributions, and an estimate of the dimension reduction subspace is asymptotically efficient. Moreover, the proposed methodology enables us to test response effects for the conditional mean. Properties of the proposed method are studied via simulation.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Jae Keun Yoo, R. Dennis Cook,