Some freuqently asked question about SIR
1. How to choose H ? Does it matter ? (consistency property)
2. Do the eignevalues carry any information ? (R-squares connection, transformation)
3. How many components ? ( a formal chi-squared test, aided by the pattern of the eigenvalue sequence)
4. Are the coefficents in SR directions easy to interprete ? Variable selection ? (correlation)
5. How do I know if the SIR model holds ? (linearity condition; dim. reduction model)
6. What to do next, after finding SIR directions ? (structural
removal)