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Journal articles
Efficient estimation of conditional covariance matrices for dimension reduction
Abstract : Let X ∈ Rp andY ∈ R. In this paper,we propose an estimator of the conditional
covariancematrix, Cov(E[X|Y]), in an inverse regression setting.
Based on the estimation of a quadratic functional, this methodology
provides an efficient estimator from a semi parametric point of view.We
consider a functional Taylor expansion of Cov(E[X|Y]) under some mild
conditions and the effect of using an estimate of the unknown joint distribution.
The asymptotic properties of this estimator are also provided.
https://hal-ifp.archives-ouvertes.fr/hal-01564965
Contributor : Françoise Bertrand <>
Submitted on : Wednesday, July 19, 2017 - 12:07:30 PM
Last modification on : Tuesday, January 12, 2021 - 1:58:03 PM
Contributor : Françoise Bertrand <>
Submitted on : Wednesday, July 19, 2017 - 12:07:30 PM
Last modification on : Tuesday, January 12, 2021 - 1:58:03 PM
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