Journal
ANNALS OF STATISTICS
Volume 39, Issue 6, Pages 3182-3210Publisher
INST MATHEMATICAL STATISTICS
DOI: 10.1214/11-AOS932
Keywords
Contour regression; invariant kernel; inverse regression; principal components; reproducing kernel Hilbert space; support vector machine
Categories
Funding
- NSF [DMS-07-04621, DMS-08-06058, DMS-11-06668]
- Direct For Mathematical & Physical Scien
- Division Of Mathematical Sciences [1106668] Funding Source: National Science Foundation
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We introduce a principal support vector machine (PSVM) approach that can be used for both linear and nonlinear sufficient dimension reduction. The basic idea is to divide the response variables into slices and use a modified form of support vector machine to find the optimal hyperplanes that separate them. These optimal hyperplanes are then aligned by the principal components of their normal vectors. It is proved that the aligned normal vectors provide an unbiased, root n-consistent, and asymptotically normal estimator of the sufficient dimension reduction space. The method is then generalized to nonlinear sufficient dimension reduction using the reproducing kernel Hilbert space. In that context, the aligned normal vectors become functions and it is proved that they are unbiased in the sense that they are functions of the true nonlinear sufficient predictors. We compare PSVM with other sufficient dimension reduction methods by simulation and in real data analysis, and through both comparisons firmly establish its practical advantages.
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