High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions
High-Dimensional Elliptical Sliced Inverse Regression in Non-Gaussian Distributions
Sliced inverse regression (SIR) is the most widely used sufficient dimension reduction method due to its simplicity, generality and computational efficiency. However, when the distribution of covariates deviates from multivariate normal distribution, the estimation efficiency of SIR gets rather low, and the SIR estimator may be inconsistent and misleading, especially …