Slicing-free Inverse Regression in High-dimensional Sufficient Dimension Reduction

Abstract

Sliced inverse regression (SIR, Li 1991) is a pioneering work and the most recognized method in sucient dimension reduction. While promising progress has been made in theory and methods of high-dimensional SIR, two remaining challenges are still nagging high-dimensional multivariate applications.First, choosing the number of slices in SIR is a dicult problem, and it depends on the sample size, the distribution of variables, and other practical considerations.Second, the extension of SIR from univariate response to multivariate is not trivial. Targeting at the same dimension reduction subspace as SIR, we propose a new slicing-free method that provides a unied solution to sucient dimension reduction with high-dimensional covariates and univariate or multivariate response.We achieve this by adopting the recently developed martingale dierence divergence matrix (MDDM, Lee & Shao 2018) and penalized eigen-decomposition algorithms.To establish the consistency of our method with a high-dimensional predictor and a multivariate response, we develop a new concentration inequality for sample