Efficient estimation of conditional covariance matrices for dimension reduction

Sébastien Da Veiga, Jean-Michel Loubes, Maikol Solís

Let $\mathbf{X}\in {\mathbb{R}}^p$ and $Y\in \mathbb{R}$. In this paper we propose an estimator of the conditional covariance matrix, $\mathrm{Cov}(\mathbb{E}[\boldsymbol{X}\vert…