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Sparse sufficient dimension reduction with heteroscedasticity
International Journal of Wavelets, Multiresolution and Information Processing, 2021Heteroscedasticity often appears in the high-dimensional data analysis. In order to achieve a sparse dimension reduction direction for high-dimensional data with heteroscedasticity, we propose a new sparse sufficient dimension reduction method, called Lasso-PQR.
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WIREs Computational Statistics, 2020AbstractThe sufficient dimension reduction of Li has been seen a steady development in the past 30 years in both methodology and application. The main approaches can be categorized into two groups: The inverse regression methods and forward regression methods.
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