Efficient estimation of conditional covariance matrices for dimension reduction

Abstract : We consider the problem of estimating a conditional covariance matrix in an inverse regression setting. We show that this estimation can be achieved by estimating a quadratic functional extending the results of \citet{daveiga2008efficient}. We prove that this method provides a new efficient estimator whose asymptotic properties are studied.
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https://hal.archives-ouvertes.fr/hal-00632576
Contributor : Jean-Michel Loubes <>
Submitted on : Friday, October 14, 2011 - 4:32:04 PM
Last modification on : Friday, April 12, 2019 - 4:22:49 PM
Document(s) archivé(s) le : Sunday, January 15, 2012 - 2:23:38 AM

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  • HAL Id : hal-00632576, version 1
  • ARXIV : 1110.3238

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Jean-Michel Loubes, Clément Marteau, Michael Solis, Sébastien Da Veiga. Efficient estimation of conditional covariance matrices for dimension reduction. 2011. ⟨hal-00632576⟩

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