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Activity Number: 39
Type: Contributed
Date/Time: Sunday, August 3, 2014 : 2:00 PM to 3:50 PM
Sponsor: Section on Statistical Learning and Data Mining
Abstract #312345 View Presentation
Title: Sequential Partial Inverse Regression
Author(s): Haileab Hilafu*+ and Xiangrong Yin
Companies: University of Georgia and University of Georgia
Keywords: Sufficient Dimension Reduction ; Central Subspace ; Partial Least Squares
Abstract:

Sufficient Dimension Reduction (SDR) is a dimension reduction paradigm for reducing the dimension of the predictor vector without losing regression information. Classical SDR methods require inverting the predictor covariance matrix. This has hindered the use of these methods in cases where the dimension of the predictor vector exceeds the available sample size. Li, Cook and Tsai (2007) adopted the idea of partial least squares (PLS) estimation to avoid inverting the covariance matrix and proposed 'partial inverse regression' by restricting to the case where the structural dimension is one. This was further developed to handle cases where the structural dimension exceeds one by Cook, Li and Chiaromonte (2007). In this talk, we will present a sequential approach to extend the scope of these methodologies to the high-dimensional setting. The efficacy of the method is demonstrated through extensive simulation and application to real data.


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