On consistency and sparsity for sliced inverse regression in high dimensions

By Q. Lin, Zhigen Zhao, Jun S. Liu. 2015

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We provide here a framework to analyze the phase transition phenomenon of slice inverse regression (SIR), a supervised dimension reduction technique introduced by \cite{Li:1991}. Under mild conditions, the asymptotic ratio $\rho= \lim p/n$ is the phase transition parameter and the SIR estimator is consistent if and only if $\rho= 0$. When dimension $p$ is greater than $n$, we propose a diagonal thresholding screening SIR (DT-SIR) algorithm. This method provides us with an estimate of the eigen-space of the covariance matrix of the conditional expectation $var(\mathbf{E}[\boldsymbol{x}|y])$. The desired dimension reduction space is then obtained by multiplying the inverse of the covariance matrix on the eigen-space. Under certain sparsity assumptions on both the covariance matrix of predictors and the loadings of the directions, we prove the consistency of DT-SIR in estimating the dimension reduction space in high dimensional data analysis. Extensive numerical experiments demonstrate superior performances of the proposed method in comparison to its competitors.

Subfields: Computational Mechanics, Mathematical Physics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/819c4845a828afc7f3be2e0f7707d584c1767b03