Adaptive estimation in the single-index model via oracle approach
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Publication:2439930
Abstract: In the framework of nonparametric multivariate function estimation we are interested in structural adaptation. We assume that the function to be estimated has the "single-index" structure where neither the link function nor the index vector is known. We suggest a novel procedure that adapts simultaneously to the unknown index and smoothness of the link function. For the proposed procedure, we prove a "local" oracle inequality (described by the pointwise seminorm), which is then used to obtain the upper bound on the maximal risk of the adaptive estimator under assumption that the link function belongs to a scale of H"{o}lder classes. The lower bound on the minimax risk shows that in the case of estimating at a given point the constructed estimator is optimally rate adaptive over the considered range of classes. For the same procedure we also establish a "global" oracle inequality (under the norm, ) and examine its performance over the Nikol'skii classes. This study shows that the proposed method can be applied to estimating functions of inhomogeneous smoothness, that is whose smoothness may vary from point to point.
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Cited in
(7)- Adaptive estimation in the functional nonparametric regression model
- Efficient estimation in single index models through smoothing splines
- Finite sample behavior of a sieve profile estimator in the single index mode
- Adaptive estimation under single-index constraint in a regression model
- Automatic and location-adaptive estimation in functional single-index regression
- A concentration inequality for a Gaussian process indexed by matrices
- Lower bounds in estimation at a point under multi-index constraint
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