In applications involving ordinal predictors, common approaches to reduce dimensionality are either extensions of unsupervised techniques such as principal component analysis, or variable selection procedures that rely on modeling the regression function. In this paper, a supervised dimension reduction method tailored to ordered categorical predictors is introduced. It uses a model-based dimension reduction approach, inspired by extending sufficient dimension reductions to the context of latent Gaussian variables. The reduction is chosen without modeling the response as a function of the predictors and does not impose any distributional assumption on the response or on the response given the predictors. A likelihood-based estimator of the reduction is derived and an iterative expectation-maximization type algorithm is proposed to alleviate the computational load and thus make the method more practical. A regularized estimator, which simultaneously achieves variable selection and dimension reduction, is also presented. Performance of the proposed method is evaluated through simulations and a real data example for socioeconomic index construction, comparing favorably to widespread use techniques.
In this paper, we address the problem of nonparametric regression estimation in the infinite-dimensional setting. We start by extending the Stone's seminal result to the case of metric spaces when the probability measure of the explanatory variables is tight. Then, under slight variations on the hypotheses, we state and prove the theorem for general metric measure spaces. From this result, we derive the mean square consistency of the -NN and kernel estimators if the regression function is bounded and the Besicovitch condition holds. We also prove that, for the uniform kernel estimate, the Besicovitch condition is also necessary in order to attain consistency for almost every .
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