On permutation tests for predictor contribution in sufficient dimension reduction

Yuexiao Dong, Chaozheng Yang and Zhou Yu

Journal of Multivariate Analysis, 2016, vol. 149, issue C, 81-91

Abstract: To test predictor contribution in a model-free fashion, marginal coordinate tests based on sliced inverse regression (SIR) and sliced average variance estimation (SAVE) have been studied in Cook (2004), and Shao et al. (2007) respectively. Estimating the null distributions of the test statistics is a critical step for such tests. We propose a novel permutation test approach to facilitate the marginal coordinate tests, which applies to existing tests based on SIR and SAVE, and can be readily extended to a new marginal coordinate test based on directional regression (Li and Wang, 2007).

Keywords: Nonparametric test; Directional regression; Sliced average variance estimation; Sliced inverse regression (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.jmva.2016.02.019

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