Estimating the Monotonic Link Function in Single-Index Models
-
-
Abstract
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.
-
-