Sufficient dimension reduction and prediction in regression: Asymptotic results

Liliana Forzani, Daniela Rodriguez, Ezequiel Smucler and Mariela Sued

Journal of Multivariate Analysis, 2019, vol. 171, issue C, 339-349

Abstract: We consider model-based sufficient dimension reduction for generalized linear models and prove the consistency and asymptotic normality of the prediction estimator studied empirically for the normal case by Adragni and Cook (2009) when a sample version of the sufficient dimension reduction is used. Moreover, we provide a formula for the prediction that does need require explicitly computing the reduction.

Keywords: Exponential family; Generalized linear model; Inverse regression; Maximum likelihood; Sufficient dimension reduction (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:171:y:2019:i:c:p:339-349

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DOI: 10.1016/j.jmva.2018.12.003

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