Kernel Dimension Reduction in Regression

Kernel Dimension Reduction in Regression

Report Number
715
Authors
Kenji Fukumizu, Francis R. Bach and Michael I. Jordan
Abstract

We present a new methodology for sufficient dimension reduction (SDR). Our methodology derives directly from a formulation of SDR in terms of the conditional independence of the covariate $X$ from the response $Y$, given the projection of $X$ on the central subspace (Li, 1991; Cook, 1998}. We show that this conditional independence assertion can be characterized in terms of conditional covariance operators on reproducing kernel Hilbert spaces and we show how this characterization leads to an M-estimator for the central subspace. The resulting estimator is shown to be consistent under weak conditions; in particular, we do not have to impose linearity or ellipticity conditions of the kinds that are generally invoked for SDR methods. We also present empirical results showing that the new methodology is competitive in practice.

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