Structure Adaptative Approach for Dimension Reduction.

We propose a new method of effective dimension reduction for a multi-index model which is based on iterative improvement of the family of average derivative estimates. The procedure is computationally straightforward and does not require any prior information about the structure of the underlying model.

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Year of publication:	2001
Authors:	Hristache, M. ; Juditsky, A. ; Polzehl, J. ; Spokoiny, V.
Subject:	INDEXES \| ECONOMIC MODELS \| INFORMATION

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Type of publication:	Book / Working Paper
Notes:	31 pages
Classification:	C13 - Estimation ; C25 - Discrete Regression and Qualitative Choice Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005671538