LAUSR

Sliced inverse regression (SIR, Li 1991) is a pioneering work and the most recognized method in sufficient dimension reduction. While promising progress has been made in theory and methods of high-dimensional SIR, two remaining challenges are still nagging high-dimensional multivariate applications. First, choosing the number of slices in SIR is a difficult problem, and it depends on the sample size, the distribution of variables, and other practical considerations. Second, the extension of SIR from univariate response to multivariate is not trivial. Targeting at the same dimension reduction subspace as SIR, we propose a new slicing-free method that provides a unified solution to sufficient dimension reduction with high-dimensional covariates and univariate or multivariate response. We achieve this by adopting the recently developed martingale difference divergence matrix (MDDM, Lee&Shao 2018) and penalized eigen-decomposition algorithms. To establish the consistency of our method with a high-dimensional predictor and a multivariate response, we develop a new concentration inequality for sample MDDM around its population counterpart using theories for U-statistics, which may be of independent interest. Simulations and real data analysis demonstrate the favorable finite sample performance of the proposed method.