Some insights into continuum regression and its asymptotic properties
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Continuum regression encompasses ordinary least squares regression, partial least squares regression and principal component regression under the same umbrella using a nonnegative parameter γ. However, there seems to be no literature discussing the asymptotic properties for arbitrary continuum regression parameter γ. This article establishes a relation between continuum regression and sufficient dimension reduction and studies the asymptotic properties of continuum regression for arbitrary γ under inverse regression models. Theoretical and simulation results show that the continuum seems unnecessary when the conditional distribution of the predictors given the response follows the multivariate normal distribution.
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