Direct estimation of the index coefficient in a single-index model

Marian Hristache, Anatoli Juditsky, Vladimir Spokoiny

Research output: Contribution to journalArticlepeer-review

192 Citations (Scopus)

Abstract

Single-index modeling is widely applied in, for example, econometric studies as a compromise between too restrictive parametric models and flexible but hardly estimable purely nonparametric models. By such modeling the statistical analysis usually focuses on estimating the index coefficients. The average derivative estimator (ADE) of the index vector is based on the fact that the average gradient of a single index function f (cursive Greek chiT β) is proportional to the index vector β. Unfortunately, a straightforward application of this idea meets the so-called "curse of dimensionality" problem if the dimensionality d of the model is larger than 2. However, prior information about the vector β can be used for improving the quality of gradient estimation by extending the weighting kernel in a direction of small directional derivative. The method proposed in this paper consists of such iterative improvements of the original ADE. The whole procedure requires at most 2 log n iterations and the resulting estimator is √n-consistent under relatively mild assumptions on the model independently of the dimensionality d.

Original languageEnglish
Pages (from-to)595-623
Number of pages29
JournalAnnals of Statistics
Volume29
Issue number3
DOIs
Publication statusPublished - Jun 2001
Externally publishedYes

Keywords

  • Direct estimation
  • Index coefficients
  • Iteration
  • Single-index model

Fingerprint

Dive into the research topics of 'Direct estimation of the index coefficient in a single-index model'. Together they form a unique fingerprint.

Cite this