Score estimation in the monotone single-index model

Fadoua Balabdaoui, Piet Groeneboom*, Kim Hendrickx

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

22 Citations (Scopus)

Abstract

We consider estimation in the single-index model where the link function is monotone. For this model, a profile least-squares estimator has been proposed to estimate the unknown link function and index. Although it is natural to propose this procedure, it is still unknown whether it produces index estimates that converge at the parametric rate. We show that this holds if we solve a score equation corresponding to this least-squares problem. Using a Lagrangian formulation, we show how one can solve this score equation without any reparametrization. This makes it easy to solve the score equations in high dimensions. We also compare our method with the effective dimension reduction and the penalized least-squares estimator methods, both available on CRAN as R packages, and compare with link-free methods, where the covariates are elliptically symmetric.

Original languageEnglish
Pages (from-to)517-544
Number of pages28
JournalScandinavian Journal of Statistics
Volume46 (2019)
Issue number2
DOIs
Publication statusPublished - 2018

Keywords

  • monotone link functions
  • nonparametric least-squares estimates
  • semiparametric models
  • single-index regression model

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