Please use this identifier to cite or link to this item:
http://hdl.handle.net/1942/30209
Title: | Score estimation in the monotone single-index model | Authors: | Balabdaoui, Fadoua Groeneboom, Piet HENDRICKX, Kim |
Issue Date: | 2019 | Publisher: | WILEY | Source: | SCANDINAVIAN JOURNAL OF STATISTICS, 46(2), p. 517-544 | 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. | Notes: | [Balabdaoui, Fadoua] PSL Res Univ, Univ Paris Dauphine, Paris, France. [Balabdaoui, Fadoua] Swiss Fed Inst Technol, Seminar Stat, Zurich, Switzerland. [Groeneboom, Piet] Delft Univ Technol, Delft Inst Appl Math DIAM, NL-2628 XE Delft, Netherlands. [Hendrickx, Kim] Hasselt Univ, Interuniv Inst Biostat & Stat Bioinformat I BioSt, Diepenbeek, Belgium. | Keywords: | monotone link functions;nonparametric least-squares estimates;semiparametric models;single-index regression model | Document URI: | http://hdl.handle.net/1942/30209 | ISSN: | 0303-6898 | e-ISSN: | 1467-9469 | DOI: | 10.1111/sjos.12361 | ISI #: | 000465606900007 | Rights: | 2018 Board of the Foundation of the Scandinavian Journal of Statistics | Category: | A1 | Type: | Journal Contribution | Validations: | ecoom 2020 |
Appears in Collections: | Research publications |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
balabdapui 1.pdf Restricted Access | Published version | 878.96 kB | Adobe PDF | View/Open Request a copy |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.