Robust estimating equation-based sufficient dimension reduction

Jingke Zhou, Wangli Xu and Lixing Zhu

Journal of Multivariate Analysis, 2015, vol. 134, issue C, 99-118

Abstract: In this paper, from the estimating equation-based sufficient dimension reduction method in the literature, its robust version is proposed to alleviate the impact from outliers. To achieve this, a robust nonparametric regression estimator is suggested. The estimator is plugged in the estimating equation of the semiparametric sufficient dimension reduction to obtain robust estimator for the central subspace. The asymptotic properties and robustness of the estimator are investigated. Numerical simulation and real data analysis are conducted to examine the performance of the estimators.

Keywords: Robust conditional density estimation; Robust nonparametric regression; Robust sufficient dimension reduction; Semiparametric inference; Outliers (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2014.10.006

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