HAL - INRIA :: [hal-00632576, version 1] Efficient estimation of conditional covariance matrices for dimension reduction

hal-00632576, version 1

Efficient estimation of conditional covariance matrices for dimension reduction

Jean-Michel Loubes () ¹, Clément Marteau () ¹, Michael Solis ¹, Sébastien Da Veiga () ^2, 3

(2011-10-14)

Abstract: We consider the problem of estimating a conditional covariance matrix in an inverse regression setting. We show that this estimation can be achieved by estimating a quadratic functional extending the results of \citet{daveiga2008efficient}. We prove that this method provides a new efficient estimator whose asymptotic properties are studied.

1: Institut de Mathématiques de Toulouse (IMT)
Université Paul Sabatier - Toulouse III – Université Toulouse le Mirail - Toulouse II – Université des Sciences Sociales - Toulouse I – Institut National des Sciences Appliquées de Toulouse – CNRS : UMR5219
2: IFP Energies Nouvelles (IFPEN)
IFP Energies Nouvelles
3: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
CNRS : GDR3179

hal-00632576, version 1
http://hal.archives-ouvertes.fr/hal-00632576
oai:hal.archives-ouvertes.fr:hal-00632576
From: Jean-Michel Loubes <>
Submitted on: Friday, 14 October 2011 16:32:04
Updated on: Friday, 14 October 2011 17:12:18

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arXiv: 1110.3238

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