A New Algorithm for Estimating the Effective Dimension-Reduction Subspace

@article{Dalalyan2008ANA,
  title={A New Algorithm for Estimating the Effective Dimension-Reduction Subspace},
  author={Arnak S. Dalalyan and Anatoli Juditsky and Vladimir G. Spokoiny},
  journal={Journal of Machine Learning Research},
  year={2008},
  volume={9},
  pages={1647-1678}
}
The statistical problem of estimating the effective dimension-reduction (EDR) subspace in the multi-index regression model with deterministic design and additive noise is considered. A new procedure for recovering the directions of the EDR subspace is proposed. Many methods for estimating the EDR subspace perform principal component analysis on a family of vectors, say β̂1, . . . , β̂L, nearly lying in the EDR subspace. This is in particular the case for the structure-adaptive approach proposed… CONTINUE READING
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