A note on shrinkage sliced inverse regression
Abbreviated Journal Title
Garotte; Lasso; shrinkage estimator; sliced inverse regression; sufficient dimension reduction; SUFFICIENT DIMENSION REDUCTION; PRINCIPAL HESSIAN DIRECTIONS; BINARY; RESPONSE; LASSO; MODEL; SELECTION; Biology; Mathematical & Computational Biology; Statistics & Probability
We employ Lasso shrinkage within the context of sufficient dimension reduction to obtain a shrinkage sliced inverse regression estimator, which provides easier interpretations and better prediction accuracy without assuming a parametric model. The shrinkage sliced inverse regression approach can be employed for both single-index and multiple-index models. Simulation studies suggest that the new estimator performs well when its tuning parameter is selected by either the Bayesian information criterion or the residual information criterion.
"A note on shrinkage sliced inverse regression" (2005). Faculty Bibliography 2000s. 5512.