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An RKHS formulation of the inverse regression dimension-reduction problem Export

Annals of Statistics, Vol. 37, No. 2. (2009), pp. 726-755.

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dimensional_reduction kernel regression rkhs

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Suppose that Y is a scalar and X is a second-order stochastic process, where Y and X are conditionally independent given the random variables ξ1, …, ξp which belong to the closed span LX2 of X. This paper investigates a unified framework for the inverse regression dimension-reduction problem. It is found that the identification of LX2 with the reproducing kernel Hilbert space of X provides a platform for a seamless extension from the finite- to infinite-dimensional settings. It also facilitates convenient computational algorithms that can be applied to a variety of models.


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