Year: 2001
Type: article
Abstract: We propose a new method of effective dimension reduction for a multi-index model which is based on iterative improvement of the family of average derivative estimates. The procedure is computationally straightforward and does not require any prior information about the structure of the underlying model. We show that in the case when the effective dimension $m$ of the index space does not exceed 3, this space can be estimated with the rate $n^{-1/2}$ under rather mild assumptions on the model.
Source: The Annals of Statistics
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze
OpenAlex ID: W1978930294