Generalized Forward Sufficient Dimension Reduction for Categorical and Ordinal Responses

We present a forward sufficient dimension reduction method for categorical or ordinal responses by extending the outer product of gradients and minimum average variance estimator to multinomial generalized linear model. Previous work in this direction extend forward regression to binary responses, and are applied in a pairwise manner to multinomial data, which is less efficient than our approach. Like other forward regression-based sufficient dimension reduction methods, our approach avoids the relatively stringent distributional requirements necessary for inverse regression alternatives. We show consistency of our proposed estimator and derive its convergence rate. We develop an algorithm for our methods based on repeated applications of available algorithms for forward regression. We also propose a clustering-based tuning procedure to estimate the tuning parameters. The effectiveness of our estimator and related algorithms is demonstrated via simulations and applications.