Yang Jianjuan. Estimating the Monotonic Link Function in Single-Index Models[J]. Chinese Journal of Applied Probability and Statistics, 2009, 25(3): 266-274.
Citation: Yang Jianjuan. Estimating the Monotonic Link Function in Single-Index Models[J]. Chinese Journal of Applied Probability and Statistics, 2009, 25(3): 266-274.

Estimating the Monotonic Link Function in Single-Index Models

  • In this paper, we propose to estimate the monotonic link function of the single-index model by I-spline approximation. On the basis of a consistent estimation of the projection direction, the consistency of the least square criterion with a penalty function is established. Simulations are carried out to compare the existing method and to evidence the efficacy of our propose approach.
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