Cost-sensitive single-index classification model

Single-index models (SIMs) are a type of semiparametric model in which a response variable is assumed to be related to a linear combination of explanatory variables by an unknown function, on which any restriction is imposed. Thus, they provide both interpretability and flexibility to capture complex data relationships. In this paper, SIMs are extended to the cost-sensitive classification problem by minimizing the different misclassification costs. The flexibility of SIMs combined with a cost-sensitive approach results in a powerful model to minimize losses and optimize decision making. This is demonstrated through an extensive simulation study and the analysis of five real data sets, where the proposed approach outperforms both parametric and semi-parametric previous approaches.