Abstract:Recently, Su and Cook [36] proposed a dimension reduction technique called the inner envelope which can be substantially more efficient than the original envelope [10] or existing dimension reduction techniques for multivariate regression. However, their technique relied on a linear model with normally distributed error, which may be violated in practice. In this work, we propose a semiparametric variant of the inner envelope that does not rely on the linear model nor the normality assumption. We show that ou… Show more
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