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Dimension reduction in regression without matrix inversion

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  • R. Dennis Cook
  • Bing Li
  • Francesca Chiaromonte

Abstract

Regressions in which the fixed number of predictors p exceeds the number of independent observational units n occur in a variety of scientific fields. Sufficient dimension reduction provides a promising approach to such problems, by restricting attention to d < n linear combinations of the original p predictors. However, standard methods of sufficient dimension reduction require inversion of the sample predictor covariance matrix. We propose a method for estimating the central subspace that eliminates the need for such inversion and is applicable regardless of the (n, p) relationship. Simulations show that our method compares favourably with standard large sample techniques when the latter are applicable. We illustrate our method with a genomics application. Copyright 2007, Oxford University Press.

Suggested Citation

  • R. Dennis Cook & Bing Li & Francesca Chiaromonte, 2007. "Dimension reduction in regression without matrix inversion," Biometrika, Biometrika Trust, vol. 94(3), pages 569-584.
    • Handle: RePEc:oup:biomet:v:94:y:2007:i:3:p:569-584
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    File URL: http://hdl.handle.net/10.1093/biomet/asm038
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    Citations

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    Cited by:

    1. Zhang, Xin & Wang, Chong & Wu, Yichao, 2018. "Functional envelope for model-free sufficient dimension reduction," Journal of Multivariate Analysis, Elsevier, vol. 163(C), pages 37-50.
    2. Guochang Wang & Beiting Liang & Hansheng Wang & Baoxue Zhang & Baojian Xie, 2021. "Dimension reduction for functional regression with a binary response," Statistical Papers, Springer, vol. 62(1), pages 193-208, February.
    3. Svitlana Tyekucheva & Francesca Chiaromonte, 2008. "Rejoinder on: Augmenting the bootstrap to analyze high dimensional genomic data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 47-55, May.
    4. Dennis Cook, R. & Forzani, Liliana, 2023. "On the role of partial least squares in path analysis for the social sciences," Journal of Business Research, Elsevier, vol. 167(C).
    5. Cook, R. Dennis & Forzani, Liliana & Su, Zhihua, 2016. "A note on fast envelope estimation," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 42-54.
    6. Qin Wang & Yuan Xue, 2023. "A structured covariance ensemble for sufficient dimension reduction," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 17(3), pages 777-800, September.
    7. Hung Hung & Su‐Yun Huang, 2019. "Sufficient dimension reduction via random‐partitions for the large‐p‐small‐n problem," Biometrics, The International Biometric Society, vol. 75(1), pages 245-255, March.
    8. Song, Jun & Kim, Kyongwon & Yoo, Jae Keun, 2023. "On a nonlinear extension of the principal fitted component model," Computational Statistics & Data Analysis, Elsevier, vol. 182(C).
    9. Guochang Wang & Xinyuan Song, 2018. "Functional Sufficient Dimension Reduction for Functional Data Classification," Journal of Classification, Springer;The Classification Society, vol. 35(2), pages 250-272, July.
    10. Zifang Guo & Lexin Li & Wenbin Lu & Bing Li, 2015. "Groupwise Dimension Reduction via Envelope Method," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(512), pages 1515-1527, December.
    11. Anne-Laure Boulesteix & Athanassios Kondylis & Nicole Krämer, 2008. "Comments on: Augmenting the bootstrap to analyze high dimensional genomic data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(1), pages 31-35, May.
    12. Ekvall, Karl Oskar, 2022. "Targeted principal components regression," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    13. Ghosh, Debashis, 2011. "Propensity score modelling in observational studies using dimension reduction methods," Statistics & Probability Letters, Elsevier, vol. 81(7), pages 813-820, July.
    14. Yoo, Jae Keun, 2013. "Advances in seeded dimension reduction: Bootstrap criteria and extensions," Computational Statistics & Data Analysis, Elsevier, vol. 60(C), pages 70-79.
    15. Alessandro Barbarino & Efstathia Bura, 2015. "Forecasting with Sufficient Dimension Reductions," Finance and Economics Discussion Series 2015-74, Board of Governors of the Federal Reserve System (U.S.).

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