Sparse single-index model

MaRDI QIDQ5405247zbMATH OpenFDO

Authors Pierre Alquier, Gérard Biau

Publication date 1 April 2014

Full work available at URL https://arxiv.org/abs/1101.3229, http://www.jmlr.org/papers/v14/alquier13a.html

zbMATH Keywords

sparsityoracle inequalitysingle-index modelregression estimationPAC-Bayesianreversible jump Markov chain Monte Carlo method

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Ridge regression; shrinkage estimators (Lasso) (62J07) Generalized linear models (logistic models) (62J12)

Abstract: Let $$ be a random pair taking values in $mathbb{R}^{p}imesmathbbR$. In the so-called single-index model, one has $$, where $f^{star}$ is an unknown univariate measurable function, $het{a}^{star}$ is an unknown vector in $mathbb{R}^d$, and $W$ denotes a random noise satisfying $$. The single-index model is known to offer a flexible way to model a variety of high-dimensional real-world phenomena. However, despite its relative simplicity, this dimension reduction scheme is faced with severe complications as soon as the underlying dimension becomes larger than the number of observations ("$p$ larger than $n$" paradigm). To circumvent this difficulty, we consider the single-index model estimation problem from a sparsity perspective using a PAC-Bayesian approach. On the theoretical side, we offer a sharp oracle inequality, which is more powerful than the best known oracle inequalities for other common procedures of single-index recovery. The proposed method is implemented by means of the reversible jump Markov chain Monte Carlo technique and its performance is compared with that of standard procedures.

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