Optimal sufficient dimension reduction for the conditional mean in multivariate regression

Jae Keun Yoo and R. Dennis Cook

Biometrika, 2007, vol. 94, issue 1, 231-242

Abstract: The aim of this article is to develop optimal sufficient dimension reduction methodology for the conditional mean in multivariate regression. The context is roughly the same as that of a related method by Cook & Setodji (2003), but the new method has several advantages. It is asymptotically optimal in the sense described herein and its test statistic for dimension always has a chi-squared distribution asymptotically under the null hypothesis. Additionally, the optimal method allows tests of predictor effects. A comparison of the two methods is provided. Copyright 2007, Oxford University Press.

Date: 2007
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