A sliced inverse regression approach for data stream
CHAVENT, Marie
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
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Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
CHAVENT, Marie
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
SARACCO, Jérôme
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Ecole Nationale Supérieure de Cognitique [ENSC]
< Leer menos
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Ecole Nationale Supérieure de Cognitique [ENSC]
Idioma
en
Article de revue
Este ítem está publicado en
Computational Statistics. 2014-10, vol. 29, n° 5, p. 1129-1152
Springer Verlag
Resumen en inglés
In this article, we focus on data arriving sequentially by blocks in a stream. A semiparametric regression model involving a common EDR (Effective Dimension Reduction) direction is assumed in each block. Our goal is to ...Leer más >
In this article, we focus on data arriving sequentially by blocks in a stream. A semiparametric regression model involving a common EDR (Effective Dimension Reduction) direction is assumed in each block. Our goal is to estimate this direction at each arrival of a new block. A simple direct approach consists of pooling all the observed blocks and estimating the EDR direction by the SIR (Sliced Inverse Regression) method. But in practice, some disadvantages appear such as the storage of the blocks and the running time for large sample sizes. To overcome these drawbacks, we propose an adaptive SIR estimator of based on the optimization of a quality measure. The corresponding approach is faster both in terms of computational complexity and running time, and provides data storage benefits. The consistency of our estimator is established and its asymptotic distribution is given. An extension to multiple indices model is proposed. A graphical tool is also provided in order to detect changes in the underlying model, i.e., drift in the EDR direction or aberrant blocks in the data stream. A simulation study illustrates the numerical behavior of our estimator. Finally, an application to real data concerning the estimation of physical properties of the Mars surface is presented.< Leer menos
Palabras clave en inglés
Effective dimension reduction (EDR)
Data stream
Sliced inverse regression (SIR)
Orígen
Importado de HalCentros de investigación