Edr direction estimating method, system, and program, and memory medium for storing the program

Abstract

The aim of the present invention is to estimate EDR directions in a single index model composed of a large number of variables with simple calculations without using the inverse matrix of the variance-covariance matrix and principle component analysis. Data conversion meansreceives, from an input device, data to be analyzed, the data composed of sets of response variables and explanatory variables, standardizes the explanatory variables, and sends them to slice average calculating means. The slice average calculating meansdivides the data into two slices with reference to the median of the response variables to calculate the mean vector of the explanatory variables on a slice basis. The calculated mean vectors are sent to EDR direction calculating means. The EDR direction calculating meanscalculates the difference between the mean vectors for respective slices to estimate an EDR direction. The EDR direction calculating meansalso corrects the estimated EDR direction using the inverse matrix of the correlation matrix of the explanatory variables, if any. Both the estimated EDR direction and the corrected EDR direction are sent to the data conversion means, and transformed by the data conversion meansinto the original coordinate system.