# Sparse single-index model

5 CLASSIC - Computational Learning, Aggregation, Supervised Statistical, Inference, and Classification
DMA - Département de Mathématiques et Applications - ENS Paris, ENS Paris - École normale supérieure - Paris, Inria Paris-Rocquencourt
Abstract : Let $(\bX, Y)$ be a random pair taking values in $\mathbb R^p \times \mathbb R$. In the so-called single-index model, one has $Y=f^{\star}(\theta^{\star T}\bX)+\bW$, where $f^{\star}$ is an unknown univariate measurable function, $\theta^{\star}$ is an unknown vector in $\mathbb R^d$, and $W$ denotes a random noise satisfying $\mathbb E[\bW|\bX]=0$. The single-index model is known to offer a flexible way to model a variety of high-dimensional real-world phenomena. However, despite its relative simplicity, this dimension reduction scheme is faced with severe complications as soon as the underlying dimension becomes larger than the number of observations (''$p$ larger than $n$'' paradigm). To circumvent this difficulty, we consider the single-index model estimation problem from a sparsity perspective using a PAC-Bayesian approach. On the theoretical side, we offer a sharp oracle inequality, which is more powerful than the best known oracle inequalities for other common procedures of single-index recovery. The proposed method is implemented by means of the reversible jump Markov chain Monte Carlo technique and its performance is compared with that of standard procedures.
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Journal articles
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Cited literature [47 references]

https://hal.inria.fr/hal-00556652
Contributor : Pierre Alquier <>
Submitted on : Wednesday, October 5, 2011 - 11:47:17 AM
Last modification on : Tuesday, December 8, 2020 - 3:38:02 AM
Long-term archiving on: : Tuesday, November 13, 2012 - 3:12:00 PM

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### Identifiers

• HAL Id : hal-00556652, version 2
• ARXIV : 1101.3229

### Citation

Pierre Alquier, Gérard Biau. Sparse single-index model. Journal of Machine Learning Research, Microtome Publishing, 2013, 14, pp.243−280. ⟨hal-00556652v2⟩

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