Corpus ID: 236881054

Tail inverse regression for dimension reduction with extreme response

  title={Tail inverse regression for dimension reduction with extreme response},
  author={Anass Aghbalou and Franccois Portier and Anne Sabourin and Chen Zhou},
We consider the problem of dimensionality reduction for prediction of a target Y ∈ R to be explained by a covariate vector X ∈ Rp, with a particular focus on extreme values of Y which are of particular concern for risk management. The general purpose is to reduce the dimensionality of the statistical problem through an orthogonal projection on a lower dimensional subspace of the covariate space. Inspired by the sliced inverse regression (SIR) methods, we develop a novel framework (TIREX, Tail… Expand

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