Functional envelope for model-free sufficient dimension reduction

Xin Zhang, Chong Wang and Yichao Wu

Journal of Multivariate Analysis, 2018, vol. 163, issue C, 37-50

Abstract: In this article, we introduce the functional envelope for sufficient dimension reduction and regression with functional and longitudinal data. Functional sufficient dimension reduction methods, especially the inverse regression estimation family of methods, usually involve solving generalized eigenvalue problems and inverting the infinite-dimensional covariance operator. With the notion of functional envelope, essentially a special type of sufficient dimension reduction subspace, we develop a generic method to circumvent the difficulties in solving the generalized eigenvalue problems and inverting the covariance directly. We derive the geometric characteristics of the functional envelope and establish the asymptotic properties of related functional envelope estimators under mild conditions. The functional envelope estimators have shown promising performance in extensive simulation studies and real data analysis.

Keywords: Envelope model; Functional data; Functional inverse regression; Sufficient dimension reduction (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2017.09.010

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