Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: sir2

Quantlet: sir
Description: Calculates the effective dimension-reduction (edr) directions by Sliced Inverse Regression (Li, 1991)

Reference(s):

Usage: {edr, eigen} = sir (x, y, h)
Input:
x n x p matrix, the explonatory variable
y n vector, the dependent variable
h scalar, number of slices (h>=2) width of slice (0 < h < 1) elements in a slice (-h)
Output:
edr p x p matrix containing estimates of the edr
eigen p vector of the eigenvalues

Example:
library("metrics")
randomize(10178)
x = normal(300, 3)
b = #(1, 0 ,1)
y = sin(x*b) + normal(300)
b = sir(x, y, -20)
b.edr
b.eigen

Result:
estimates of the edr, b.edr, and the eigenvalues, b.eigen



Author: T. T. Koetter, 19951011 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006