On relative efficiency of principal Hessian directions

Qing Cheng and Liping Zhu

Statistics & Probability Letters, 2017, vol. 126, issue C, 108-113

Abstract: Li (1992) proposed two variants of principal Hessian directions: one is based on centralized response and the other is based on residual of linear regression. We show that the latter has smaller asymptotic variance than the former in quadratic regressions.

Keywords: Dimension reduction; Efficiency; Inverse regression; Principal Hessian directions; Stein’s lemma (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.02.030

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