Principal weighted logistic regression for sufficient dimension reduction in binary classification

Abstract Sufficient dimension reduction (SDR) is a popular supervised machine learning technique that reduces the predictor dimension and facilitates subsequent data analysis in practice. In this article, we propose principal weighted logistic regression (PWLR), an efficient SDR method in binary classification where inverse-regression-based SDR methods often suffer. We first develop linear PWLR for linear SDR and study its asymptotic properties. We then extend it to nonlinear SDR and propose the kernel PWLR. Evaluations with both simulated and real data show the promising performance of the PWLR for SDR in binary classification.