For simultaneous dimension reduction and variable selection for general regression models, including the multi-index model as a special case, we propose a penalized minimum average variance estimation ...

Let T be a subset of the set I of non-negative integers. Define f(θ) = ∑ a(x)θx where the summation extends over T and $a(x) > 0, \theta \geqq 0$ with θ ε Θ ...