Connecting continuum regression with sufficient dimension reduction

Xin Chen and Li-Ping Zhu

Statistics & Probability Letters, 2015, vol. 98, issue C, 44-49

Abstract: Chen and Cook (2010) showed that the classical continuum regression with a nonzero tuning parameter may fail to produce a consistent estimator. In this article we show that the continuum regression with either slightly modified constraints or the tuning parameter being zero can estimate the central subspace consistently. We further provide a general class of continuum regression and connect it with sufficient dimension regression.

Keywords: Central subspace; Continuum regression; Inverse regression; Sufficient dimension reduction (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2014.12.007

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