Cumulative Median Estimation for Sufficient Dimension Reduction

Stephen Babos and Andreas Artemiou
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Stephen Babos: School of Mathematics, Cardiff University, Cardiff CF24 4AG, UK
Andreas Artemiou: School of Mathematics, Cardiff University, Cardiff CF24 4AG, UK

Stats, 2021, vol. 4, issue 1, 1-8

Abstract: In this paper, we present the Cumulative Median Estimation (CUMed) algorithm for robust sufficient dimension reduction. Compared with non-robust competitors, this algorithm performs better when there are outliers present in the data and comparably when outliers are not present. This is demonstrated in simulated and real data experiments.

Keywords: L1 median; regression; supervised dimension reduction (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2021
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