Least squares estimation in the monotone single index model

Abstract

We study the monotone single index model where a real response variable $Y $ is linked to a $d$-dimensional covariate $X$ through the relationship $E[Y | X] = \Psi_0(\alpha^T_0 X)$ almost surely. Both the ridge function, $\Psi_0$, and the index parameter, $\alpha_0$, are unknown and the ridge function is assumed to be monotone on its interval of support. Under some regularity conditions, without imposing a particular distribution on the regression error, we show the $n^{-1/3}$ rate of convergence in the $\ell_2$-norm for the least squares estimator of the bundled function $\psi_0({\alpha}^T_0 \cdot),$ and also that of the ridge function and the index separately. Furthermore, we show that the least squares estimator is nearly parametrically rate-adaptive to piecewise constant ridge functions.