Coordinate-independent sparse sufficient dimension reduction and variable selection

X Chen, C Zou, RD Cook - 2010 - projecteuclid.org
2010projecteuclid.org
Sufficient dimension reduction (SDR) in regression, which reduces the dimension by
replacing original predictors with a minimal set of their linear combinations without loss of
information, is very helpful when the number of predictors is large. The standard SDR
methods suffer because the estimated linear combinations usually consist of all original
predictors, making it difficult to interpret. In this paper, we propose a unified method—
coordinate-independent sparse estimation (CISE)—that can simultaneously achieve sparse …
Abstract
Sufficient dimension reduction (SDR) in regression, which reduces the dimension by replacing original predictors with a minimal set of their linear combinations without loss of information, is very helpful when the number of predictors is large. The standard SDR methods suffer because the estimated linear combinations usually consist of all original predictors, making it difficult to interpret. In this paper, we propose a unified method—coordinate-independent sparse estimation (CISE)—that can simultaneously achieve sparse sufficient dimension reduction and screen out irrelevant and redundant variables efficiently. CISE is subspace oriented in the sense that it incorporates a coordinate-independent penalty term with a broad series of model-based and model-free SDR approaches. This results in a Grassmann manifold optimization problem and a fast algorithm is suggested. Under mild conditions, based on manifold theories and techniques, it can be shown that CISE would perform asymptotically as well as if the true irrelevant predictors were known, which is referred to as the oracle property. Simulation studies and a real-data example demonstrate the effectiveness and efficiency of the proposed approach.
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