Dimension reduction boosting
ABSTRACT L2Boosting is an effective method for constructing model. In the case of high-dimensional setting, Bühlmann and Yu (2003) proposed the componentwise L2Boosting, but componentwise L2Boosting can only fit a special limited model. In this paper, by combining a boosting and sufficient dimension reduction method, e.g., sliced inverse regression (SIR), we propose a new method for regression, called dimension reduction boosting (DRBoosting). Compared with L2Boosting, the computation of DRBoosting is less intensive and its prediction is better, especially for high-dimensional data. Simulations confirm the advantage of the new method.