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: sir sssm

Quantlet: sir2
Description: Calculates the effective dimension-reduction (edr) directions by Sliced Inverse Regression II (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 for 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 = sir2 (x, y, -20)

b.edr

b.eigen

Result:

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


Library: metrics
See also: sir sssm

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

Author: TTK 961011
(C) MD*TECH Method and Data Technologies, 21.9.2000