Score estimation in the monotone single‐index model
研究了单调单指标模型中连接函数的估计问题，提出通过求解得分方程得到参数收敛速度的指标估计，并给出无需重新参数化的求解方法，适用于高维数据。
Abstract We consider estimation in the single‐index model where the link function is monotone. For this model, a profile least‐squares estimator has been proposed to estimate the unknown link function and index. Although it is natural to propose this procedure, it is still unknown whether it produces index estimates that converge at the parametric rate. We show that this holds if we solve a score equation corresponding to this least‐squares problem. Using a Lagrangian formulation, we show how one can solve this score equation without any reparametrization. This makes it easy to solve the score equations in high dimensions. We also compare our method with the effective dimension reduction and the penalized least‐squares estimator methods, both available on CRAN as R packages, and compare with link‐free methods, where the covariates are elliptically symmetric.