Transformed Central Quantile Subspace

06/03/2019

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by   Eliana Christou, et al.

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We present a dimension reduction technique for the conditional quantiles of the response given the covariates that serves as an intermediate step between linear and fully nonlinear dimension reduction. The idea is to apply existing linear dimension reduction techniques on the transformed predictors. The proposed estimator, which is shown to be root n consistent, is demonstrated through simulation examples and real data applications.