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Assesing the number of linear components in a general regression problem

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URI: https://hdl.handle.net/10016/10608
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ws9720.pdf (342.21 KB)
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1997-03
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This paper presents a method for testing the dimension of a general regression problem without assuming any specific model for the distribution of the regressors. Examples of application and comparisons with existing methods are studied.
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Asymptotic tests, Dimension reduction, Eigenvalues, Sliced inverse regression
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DES - Working Papers. Statistics and Econometrics. WS