Semi-linear index model when the linear covariates and indices are independent

Yun Sam Chong, Jane-Ling Wang, Lixing Zhu

Research output: Chapter in book/report/conference proceedingChapterpeer-review

Abstract

This chapter develops a flexible dimension-reduction model that incorporates both discrete and continuous covariates. Under this model, some covariates, Z, are related to the response variable, Y, through a linear relationship, while the remaining covariates, X, are related to Y through k indices which depend only on X’B and some unknown function g of X’B. To avoid the curse of dimensionality, k should be much smaller than p. This is often realistic as the key features of a high dimensional variable can often be extracted through a low-dimensional subspace. We develop a simple approach that separates the dimension reduction stage to estimate B from the remaining model components when the two covariates Z and X are independent. For instance, one can apply any suitable dimension reduction approach, such as the average derivative method, projection pursuit regression or sliced inverse regression, to get an initial estimator for B which is consistent at the √n rate, and then estimate the regression coefficient of Z and the link function g through a profile approach such as partial regression. All three estimates can be refined by iterating the procedure once. Such an approach is computationally simple and yields efficient estimates for both parameters at the √n rate. We provide both theoretical proofs and empirical evidence.

Original languageEnglish
Title of host publicationAdvances In Statistical Modeling And Inference
Subtitle of host publicationEssays In Honor Of Kjell A Doksum
EditorsVijay Nair
PublisherWorld Scientific Publishing Co.
Pages197-222
Number of pages26
Volume3
Edition1st
ISBN (Electronic)9789812708298, 9789814476614
ISBN (Print)9789812703699
DOIs
Publication statusPublished - Mar 2007

Scopus Subject Areas

  • Mathematics(all)

User-Defined Keywords

  • Dimension reduction
  • Nonparametric smoothing
  • Partial regression
  • Projection pursuit regression
  • Single-index
  • Sliced inverse regression

Fingerprint

Dive into the research topics of 'Semi-linear index model when the linear covariates and indices are independent'. Together they form a unique fingerprint.

Cite this