Sparse minimum average variance estimation through signal extraction approach to multivariate regression

Document Type : Research Paper

Authors

Department of Statistics, College of Administration and Economics, University of Baghdad, Baghdad, Iraq

10.22075/ijnaa.2022.5660

Abstract

In this paper, a new sparse method called (MAVE-SiER) is proposed, to introduce MAVE-SiER, we combined the effective sufficient dimension reduction method MAVE with the sparse method Signal extraction approach to multivariate regression (SiER). MAVE-SiER has the benefit of expanding the Signal extraction method to multivariate regression (SiER) to nonlinear and multi-dimensional regression. MAVE-SiER also allows MAVE to deal with problems which the predictors are highly correlated. MAVE-SiER may estimate dimensions exhaustively while concurrently choosing useful variables. Simulation studies confirmed MAVE-SiER performance.

Keywords