Optimal quantization applied to Sliced Inverse Regression

Abstract

In this paper we consider a semiparametric regression model involving a $d$-dimensional quantitative explanatory variable $X$ and including a dimension reduction of $X$ via an index ${\beta }^{\prime }X$. In this model, the main goal is to estimate the euclidean parameter $\beta$ and to predict the real response variable $Y$ conditionally to $X$. Our approach is based on sliced inverse regression (SIR) method and optimal quantization in ${\mathbf{L}}^p$-norm. We obtain the convergence of the proposed estimators of $\beta$ and of the conditional distribution. Simulation studies show the good numerical behavior of the proposed estimators for finite sample size.