Single Index Fréchet Regression
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Single index models provide an effective dimension reduction tool in regression, especially for high dimensional data, by projecting a general multivariate predictor onto a direction vector. We propose a novel single-index model for regression models where metric space-valued random object responses are coupled with multivariate Euclidean predictors. The responses in this regression model include complex, non-Euclidean data, including covariance matrices, graph Laplacians of networks, and univariate probability distribution functions among other complex objects that lie in abstract metric spaces. Fréchet regression has provided an approach for modeling the conditional mean of such random objects given multivariate Euclidean vectors, but it does not provide for regression parameters such as slopes or intercepts, since the metric space-valued responses are not amenable to linear operations. We show here that for the case of multivariate Euclidean predictors, the parameters that define a single index and associated projection vector can be used to substitute for the inherent absence of parameters in Fréchet regression. Specifically, we derive the asymptotic consistency of suitable estimates of these parameters subject to an identifiability condition. Consistent estimation of the link function of the single index Fréchet regression model is obtained through local Fréchet regression. We demonstrate the finite sample performance of estimation for the proposed single index Fréchet regression model through simulation studies, including the special cases of probability distributions and graph adjacency matrices. The method is also illustrated for resting-state functional Magnetic Resonance Imaging (fMRI) data from the ADNI study.
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