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Penalized least squares for single index models. (English) Zbl 1204.62070
Summary: The single index model is a useful regression model. We propose a nonconcave penalized least squares method to estimate both the parameters and the link function of a single index model. Compared to other variable selection and estimation methods, the proposed method can estimate parameters and select variables simultaneously. When the dimension of parameters in the single index model is a fixed constant, under some regularity conditions, we demonstrate that the proposed estimators for the parameters have the so-called oracle property, and furthermore we establish the asymptotic normality and develop a sandwich formula to estimate the standard deviations of the proposed estimators. Simulation studies and a real data analysis are presented to illustrate the proposed methods.

62G08 Nonparametric regression and quantile regression
62H12 Estimation in multivariate analysis
62G20 Asymptotic properties of nonparametric inference
65C60 Computational problems in statistics (MSC2010)
Full Text: DOI
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