For multiple index models, it has recently been shown that the sliced inverse regression (SIR) is consistent for estimating the sufficient dimension reduction (SDR) subspace if and only if the dimension p and sample size n satisfies that ρ=limp/n=0. Thus, when p is of the same or a higher order of n, additional assumptions such as sparsity have to be imposed in order to ensure consistency for SIR. By constructing artificial response variables made up from top eigenvectors of the estimated conditional covariance matrix, \widehat{var(𝔼[x|y])}, we introduce a simple Lasso regression method to obtain an estimate of the SDR subspace. The resulting algorithm, Lasso-SIR, is shown to be consistent and achieve the optimal convergence rate under certain sparsity conditions when p is of order o(n^2λ^2) where λ is the generalized signal noise ratio. We also demonstrate the superior performance of Lasso-SIR compared with existing approaches via extensive numerical studies and several real data examples.

The case of dimension two was proved by Andreotti-Frankel [-7] and the case of dimension three by Mabuchi [18] using the result of Kobayashi-Ochiai [12]. Our method of proof uses harmonic maps and the characterization of the complex projective space obtained by Kobayashi-Ochiai [15]. According to the result of Kobayashi-Ochiai the complex projective space of dimension n is characterized by the fact that its first Chern class equals 2c1 (F) for some 2> n+ 1 and some positive holomorphic line bundle F over it. Since by the result of Bishop-Goldberg [-2] the second Betti number of a compact Kiihler manifold M of positive bisectional curvature is 1, for the Main Theorem it suffices to show that ca (M) is 2 times a generator of H2 (M, 7Z.) for some 2> 1+ dim M. This can be done by proving that a generator of the free part of H2 (M, Z) can be represented by a rational curve, because the tangent bundle of M restricted to the rational curve splits into a direct sum of holomorphic line bundles over the rational curve according to the result of Grothendieck [-11]. The existence of the rational curve is obtained in the following way. According to the result of Sacks-Uhlenbeck [22] and its improved formulation by Meeks-Yau [-19], the infimum of the energies of maps from S 2 to M representing the generator of rcz (M) can be achieved by a sum of stable harmonic maps f~ from S 2 to M (1< i< m). The key step in our proof is to show that each f~ is either holomorphic or conjugate holomorphic. The known methods of proving the complex-analyticity of a harmonic map use the formula for the Laplacian of the energy function [23, 25, 26] or a variation of it [24]. Here we use

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