Research

Constrained Inverse Regression for Incorporating Prior Information
Journal of the American Statistical Association, 2005

Inverse regression methods facilitate dimension-reduction analyses of high-dimensional data by extracting a small number of factors that are linear combinations of the original predictor variables. But the estimated factors may not lend themselves readily to interpretation consistent with prior information.

Professors Prasad Naik and Chih-Ling Tsai approach this problem by first incorporating prior information via theory- or data-driven constraints on model parameters, and then applying the proposed method, constrained inverse regression (CIR), to extract factors that satisfy the constraints. They provide chi-squared and t tests to assess the significance of each factor and its estimated coefficients, and we also generalize CIR to other inverse regression methods in situations where both dimension reduction and factor interpretation are important. Finally, the authors investigate CIR’s small-sample performance, test data-driven constraints, and present a marketing example to illustrate its use in discovering meaningful factors that influence the desirability of brand logos.

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