Structural adaptive dimension reduction

Abstract

The paper introduces and discusses different estimation methods for multi index models where the indices are parametric and the link function is nonparametric. More specific, the here introduced methods follow the idea of Hristache et al. (2001), modify and try to improve it. Moreover, they constitute alternatives to the so called MAVE-based methods (Xia et al, 2002). We concentrate on an intuitive presentation of what each procedure is doing to the data and its implementation. All methods considered here we have made freely available in R. We conclude with a comparative simulation study based on the provided package EDR.