A Note on Sliced Inverse Regression with Regularizations

Caroline Bernard-Michel 1 Laurent Gardes 1 Stephane Girard 1
1 MISTIS - Modelling and Inference of Complex and Structured Stochastic Systems
Inria Grenoble - Rhône-Alpes, LJK - Laboratoire Jean Kuntzmann, INPG - Institut National Polytechnique de Grenoble
Abstract : In "Li, L. and Yin, X. (2007). Sliced Inverse Regression with Regularizations., Biometrics, 64(1), 124-131" a ridge SIR estimator is introduced as the solution of a minimization problem and computed thanks to an alternating least-squares algorithm. This methodology reveals good performance in practice. In this note, we focus on the theoretical properties of the estimator. Is it shown that the minimization problem is degenerated in the sense that only two situations can occur: Either the ridge SIR estimator does not exist or it is zero.
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Caroline Bernard-Michel, Laurent Gardes, Stephane Girard. A Note on Sliced Inverse Regression with Regularizations. Biometrics, Wiley, 2008, 64 (3), pp.982-986. ⟨10.1111/j.1541-0420.2008.01080.x⟩. ⟨inria-00180496v2⟩

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