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Covariate Information Matrix for Dimension Reduction

Date:
Location:
MDS 220
Speaker(s) / Presenter(s):
Dr. Weixin Yao

Abstract: Building upon recent research on the applications of the Density Information Matrix (DIM), we developed a tool for Sufficient Dimension Reduction (SDR) in regression problems called a Covariate Information Matrix (CIM). CIM exhaustively identifies the Central Subspace (CS) and provides a rank ordering of the reduced covariates in terms of their regression information. Compared to other popular SDR methods, CIM does not require distributional assumptions on the covariates, or estimation of the mean regression function. CIM is implemented via eigen-decomposition of a matrix estimated with a previously developed efficient nonparametric density estimation technique. We also propose a bootstrap-based diagnostic plot for estimating the dimension of the CS. Results of simulations and real data applications demonstrate superior or competitive performance of CIM compared to that of some other SDR methods.

 

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