Using intraslice covariances for improved estimation of the central subspace in regression

R. Dennis Cook and Liqiang Ni

Biometrika, 2006, vol. 93, issue 1, 65-74

Abstract: Popular methods for estimating the central subspace in regression require slicing a continuous response. However, slicing can result in loss of information and in some cases that loss can be substantial. We use intraslice covariances to construct improved inference methods for the central subspace. These methods are optimal within a class of quadratic inference functions and permit chi-squared tests of conditional independence hypotheses involving the predictors. Our experience gained through simulation is that the new method is never worse than existing methods, and can be substantially better. Copyright 2006, Oxford University Press.

Date: 2006
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