Extending sliced inverse regression: The weighted chi-squared test

Efstathia Bura, R. Dennis Cook

Research output: Contribution to journalArticle

91 Scopus citations

Abstract

Sliced inverse regression (SIR) and an associated chi-squared test for dimension have been introduced as a method for reducing the dimension of regression problems whose predictor variables are normal. In this article the assumptions on the predictor distribution, under which the chi-squared test was proved to apply, are relaxed, and the result is extended. A general weighted chi-squared test that does not require normal regressors for the dimension of a regression is given. Simulations show that the weighted chi-squared test is more reliable than the chi-squared test when the regressor distribution digresses from normality significantly, and that it compares well with the chi-squared test when the regressors are normal.

Original languageEnglish (US)
Pages (from-to)996-1003
Number of pages8
JournalJournal of the American Statistical Association
Volume96
Issue number455
DOIs
StatePublished - Sep 1 2001

Keywords

  • Dimension estimation
  • Dimension reduction

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