A note on cumulative mean estimation

Bilin Zeng, Zhou Yu and Xuerong Meggie Wen

Statistics & Probability Letters, 2015, vol. 96, issue C, 322-327

Abstract: We revisit cumulative slicing estimation (CUME; Zhu et al., 2010) from a different perspective to gain more insights, then refine its performance by incorporating the intra-slice covariances. We also prove that our new method, under some conditions, is more comprehensive than CUME.

Keywords: Cumulative slicing estimation; Dimension reduction; Sliced inverse regression; Intraslice covariance estimation; Ensemble estimator approach (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.09.014

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