A new estimation method for the dimension of a regression at the outset of an analysis is proposed. A linear subspace spanned by projections of the regressor vector X, which contains part or all of the modelling information for the regression of a vector Y on X, and its dimension are estimated via the means of parametric inverse regression. Smooth parametric curves are ®tted to the p inverse regressions via a multivariate linear model. No restrictions are placed on the distribution of the regressors. The estimate of the dimension of the regression is based on optimal estimation procedures. A simulation study shows the method to be more powerful than sliced inverse regression in some situations.summary plots of Y versus T X as graphical displays of all the necessary modelling information for the regression of Y on X. Subsequently, suf®cient summary plots can guide the selection of appropriate models for FYjX.For any vector or matrix , let S denote its range space and dimfSg denote its dimension. If expression (1) holds then it also holds with replaced by any basis for S. In this sense, expression (1) can be regarded as a statement about S rather than a statement about , per se. Thus, when expression (1) holds we follow Li (1991Li ( , 1992 and call S a dimension reduction subspace for FYjX, or for the regression of Y on X.

We present a graphical measure of assessing the explanatory power of regression models with a binary response. The binary regression quantile plot and an area defined by it are used for the visual comparison and ordering of nested binary response regression models. The plot shows how well various models explain the data. Two data sets are analyzed and the area representing the fit of a model is shown to agree with the usual likelihood ratio test.

a b s t r a c tSufficient Dimension Reduction (SDR) in regression comprises the estimation of the dimension of the smallest (central) dimension reduction subspace and its basis elements. For SDR methods based on a kernel matrix, such as SIR and SAVE, the dimension estimation is equivalent to the estimation of the rank of a random matrix which is the sample based estimate of the kernel. A test for the rank of a random matrix amounts to testing how many of its eigen or singular values are equal to zero. We propose two tests based on the smallest eigen or singular values of the estimated matrix: an asymptotic weighted chi-square test and a Wald-type asymptotic chi-square test. We also provide an asymptotic chi-square test for assessing whether elements of the left singular vectors of the random matrix are zero. These methods together constitute a unified approach for all SDR methods based on a kernel matrix that covers estimation of the central subspace and its dimension, as well as assessment of variable contribution to the lower-dimensional predictor projections with variable selection, a special case. A small power simulation study shows that the proposed and existing tests, specific to each SDR method, perform similarly with respect to power and achievement of the nominal level. Also, the importance of the choice of the number of slices as a tuning parameter is further exhibited.

We propose a method to combine several predictors (markers) that are measured repeatedly over time into a composite marker score without assuming a model and only requiring a mild condition on the predictor distribution. Assuming that the first and second moments of the predictors can be decomposed into a time and a marker component via a Kronecker product structure, that accommodates the longitudinal nature of the predictors, we develop first moment sufficient dimension reduction techniques to replace the original markers with linear transformations that contain sufficient information for the regression of the predictors on the outcome. These linear combinations can then be combined into a score that has better predictive performance than the score built under a general model that ignores the longitudinal structure of the data. Our methods can be applied to either continuous or categorical outcome measures. In simulations we focus on binary outcomes and show that our method outperforms existing alternatives using the AUC, the area under the receiver-operator characteristics (ROC) curve, as a summary measure of the discriminatory ability of a single continuous diagnostic marker for binary disease outcomes.