Some extensions of multivariate sliced inverse regression

Multivariate sliced inverse regression (SIR) is a method for achieving dimension reduction in regression problems when the outcome variable y and the regressor x are both assumed to be multidimensional. In this paper, we extend the existing approaches, based on the usual SIR I which only uses the inverse regression curve, to methods using properties of the inverse conditional variance. Contrary to the existing ones, these new methods are not blind for symmetric dependencies and rely on the SIR II or SIRα. We also propose their corresponding pooled slicing versions. We illustrate the usefulness of these approaches on simulation studies.

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