Testing predictor contributions in sufficient dimension reduction

The Annals of Statistics · 2004 · Volume 32 · Issue 3

Abstract

We develop tests of the hypothesis of no effect for selected predictors in regression, without assuming a model for the conditional distribution of the response given the predictors. Predictor effects need not be limited to the mean function and smoothing is not required. The general approach is based on sufficient dimension reduction, the idea being to replace the predictor vector with a lower-dimensional version without loss of information on the regression. Methodology using sliced inverse regression is developed in detail.

Keywords

62G08, 62G09, 62H05, central subspace, Nonparametric regression, sliced inverse regression

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