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The sliced inverse regression algorithm as a maximum likelihood procedure
Authors:Marí  a Eugenia Szretter,Ví  ctor Jaime Yohai
Affiliation:1. Universidad de Buenos Aires, Argentina;2. Departamento de Matemáticas, Universidad de Buenos Aires, Pabellón I—Ciudad Universitaria, 1428 Buenos Aires, and CONICET, Argentina
Abstract:It is shown that the sliced inverse regression procedure proposed by Li corresponds to the maximum likelihood estimate where the observations in each slice are samples of multivariate normal distributions with means in an affine manifold.
Keywords:Sliced inverse regression   Maximum likelihood estimates   Central mean subspace
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