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Bayesian model averaging sliced inverse regression

Michael Declan Power and Yuexiao Dong

Statistics & Probability Letters, 2021, vol. 174, issue C

Abstract: As a popular sufficient dimension reduction method, sliced inverse regression (SIR) (Li, 1991) involves all the predictors. We propose Bayesian model averaging SIR when the central space only involves a subset of the predictors.

Keywords: Central space; Markov chain Monte Carlo; Sufficient dimension reduction (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109103

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