Estimate the sufficient dimension reduction space using sparsed sliced inverse regression via Lasso (Lasso-SIR) introduced in Lin, Zhao, and Liu (2017) <arxiv:1611.06655>. The Lasso-SIR is consistent and achieve the optimal convergence rate under certain sparsity conditions for the multiple index models.
|Author||Zhigen Zhao, Qian Lin, Jun Liu|
|Maintainer||Zhigen Zhao <[email protected]>|
|Package repository||View on CRAN|
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