*Wissenschaftliches Programm*   *Liste der Vortragenden*

Sektion 8
Dienstag, 19.09.2000, 16.00–16.50 Uhr, POT 106

Structure Adaptive Approach for Dimension Reduction

Vladimir Spokoiny, Weierstraß-Institut für angewandte Analysis und Stochastik, Berlin

New method of effective dimension reduction for a multi-index model is proposed. The method is based on iterative improvement of the family of average derivative estimates. The procedure is computationally straightforward and does not require any prior information about the structure of the underlying model. We show that in the case when the effective dimension m of the index space does not exceed 3, this space can be estimated with the rate n-1/2 under rather mild assumptions on the model.