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Sufficient dimension reduction using Hilbert–Schmidt independence criterion

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  • Xue, Yuan
  • Zhang, Nan
  • Yin, Xiangrong
  • Zheng, Haitao

Abstract

By using Hilbert–Schmidt Independence Criterion, a sufficient dimension reduction method is proposed to estimate the directions in multiple-index models. A projection pursuit type of sufficient searching algorithm is introduced to reduce the computational complexity, as the original problem involves non-linear optimization over multidimensional Grassmann-manifold. A bootstrap procedure with additional jump point detection algorithm is used for determining the dimensionality. The proposed method demonstrates competitive performance compared with some well-known dimension reduction methods via simulation studies and an application to a real data.

Suggested Citation

  • Xue, Yuan & Zhang, Nan & Yin, Xiangrong & Zheng, Haitao, 2017. "Sufficient dimension reduction using Hilbert–Schmidt independence criterion," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 67-78.
    • Handle: RePEc:eee:csdana:v:115:y:2017:i:c:p:67-78
    DOI: 10.1016/j.csda.2017.05.002
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    References listed on IDEAS

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