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Electronic Journal of Statistics
Article . 2017 . Peer-reviewed
Data sources: Crossref
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Electronic Journal of Statistics
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Electronic Journal of Statistics
Other literature type . 2017
Data sources: Project Euclid
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SiAM: A hybrid of single index models and additive models

Authors: Ma, Shujie; Lian, Heng; Liang, Hua; Carroll, Raymond J.;

SiAM: A hybrid of single index models and additive models

Abstract

While popular, single index models and additive models have potential limitations, a fact that leads us to propose SiAM, a novel hybrid combination of these two models. We first address model identifiability under general assumptions. The result is of independent interest. We then develop an estimation procedure by using splines to approximate unknown functions and establish the asymptotic properties of the resulting estimators. Furthermore, we suggest a two-step procedure for establishing confidence bands for the nonparametric additive functions. This procedure enables us to make global inferences. Numerical experiments indicate that SiAM works well with finite sample sizes, and are especially robust to model structures. That is, when the model reduces to either single-index or additive scenario, the estimation and inference results are comparable to those based on the true model, while when the model is misspecified, the superiority of our method can be very great.

Keywords

global inference, misspecification, oracle estimator, identifiability, regression spline, partially linear single index models, 62G08, 62J02, Additive models, simultaneous confidence band, 62F12, 62G20

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
3
Average
Average
Average
gold