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Direction estimation in single-index models via distance covariance

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  • Sheng, Wenhui
  • Yin, Xiangrong

Abstract

We introduce a new method for estimating the direction in single-index models via distance covariance. Our method keeps model-free advantage as a dimension reduction approach. In addition, no smoothing technique is needed, which enables our method to work efficiently when many predictors are discrete or categorical. Under regularity conditions, we show that our estimator is root-n consistent and asymptotically normal. We compare the performance of our method with some dimension reduction methods and the single-index estimation method by simulations and show that our method is very competitive and robust across a number of models. Finally, we analyze the UCI Adult Data Set to demonstrate the efficacy of our method.

Suggested Citation

  • Sheng, Wenhui & Yin, Xiangrong, 2013. "Direction estimation in single-index models via distance covariance," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 148-161.
    • Handle: RePEc:eee:jmvana:v:122:y:2013:i:c:p:148-161
    DOI: 10.1016/j.jmva.2013.07.003
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    References listed on IDEAS

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    Cited by:

    1. Liu, Jicai & Xu, Peirong & Lian, Heng, 2019. "Estimation for single-index models via martingale difference divergence," Computational Statistics & Data Analysis, Elsevier, vol. 137(C), pages 271-284.
    2. Wu, Runxiong & Chen, Xin, 2021. "MM algorithms for distance covariance based sufficient dimension reduction and sufficient variable selection," Computational Statistics & Data Analysis, Elsevier, vol. 155(C).
    3. Wang, Pei & Yin, Xiangrong & Yuan, Qingcong & Kryscio, Richard, 2021. "Feature filter for estimating central mean subspace and its sparse solution," Computational Statistics & Data Analysis, Elsevier, vol. 163(C).
    4. Xue, Yuan & Zhang, Nan & Yin, Xiangrong & Zheng, Haitao, 2017. "Sufficient dimension reduction using Hilbert–Schmidt independence criterion," Computational Statistics & Data Analysis, Elsevier, vol. 115(C), pages 67-78.
    5. Zhu, Xuehu & Guo, Xu & Lin, Lu & Zhu, Lixing, 2015. "Heteroscedasticity checks for single index models," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 41-55.

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