Finite sample behavior of a sieve profile estimator in the single index mode

DOI10.1214/15-EJS1079zbMATH Open1326.62046arXiv1406.4052OpenAlexW2176178582MaRDI QIDQ895013FDOQ895013

Authors: Andreas Andresen 

Publication date: 25 November 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We apply the results of Andresen A. and Spokoiny V. on profile M-estimators and the alternating maximization procedure to analyse a sieve profile quasi maximum likelihood estimator in the single index model with linear index function. The link function is approximated with (C^3)-Daubechies-wavelets with compact support. We derive results like Wilks phenomenon and Fisher Theorem in a finite sample setup. Further we show that an alternation maximization procedure converges to the global maximizer and assess the performance of a projection pursuit procedure in that context. The approach is based on showing that the conditions of Andresen A. and Spokoiny V. on profile M-estimators and the alternating maximization procedure can be satisfied under a set of mild regularity and moment conditions on the index function, the regressors and the additive noise. This allows to construct nonasymptotic confidence sets and to derive asymptotic bounds for the estimator as corollaries.

Full work available at URL: https://arxiv.org/abs/1406.4052

Recommendations

• Sieve maximum likelihood estimator for functional probit model
• Series estimation for single-index models under constraints
• Critical dimension in profile semiparametric estimation
• M-estimators for single-index model using B-spline
• Adaptive estimation in the single-index model via oracle approach

zbMATH Keywords

sievealternating minimizationprofile estimatorsingle indexalternating maximizationprojection pursuit procedure

Mathematics Subject Classification ID

Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Cites Work

• Introduction to empirical processes and semiparametric inference
• Optimal smoothing in single-index models
• Optimal rates of convergence for nonparametric estimators
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• An Adaptive Estimation of Dimension Reduction Space
• Semiparametric Estimation of Index Coefficients
• On methods of sieves and penalization
• Projection pursuit
• Wavelets on the interval and fast wavelet transforms
• Convergence rates and asymptotic normality for series estimators
• Direct estimation of the index coefficient in a single-index model
• ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL
• User-friendly tail bounds for sums of random matrices
• On a conjecture of Huber concerning the convergence of projection pursuit regression
• Parametric estimation. Finite sample theory
• Learning without concentration
• The sizes of compact subsets of Hilbert space and continuity of Gaussian processes
• Majorizing measures: The generic chaining
• Critical dimension in profile semiparametric estimation
• Estimating the direction in which a data set is most interesting
• Convergence of an alternating maximization procedure
• The Macroeconomy as a Network of Money-Flow Transfer Functions

Cited In (2)

• Alternating least squares in generalized linear models
• Critical dimension in profile semiparametric estimation

This page was built for publication: Finite sample behavior of a sieve profile estimator in the single index mode

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q895013)