Abstract
A natural generalization of the well known generalized linear models is to allow only for some of the predictors to be modeled linearly while others are modeled nonparametrically. However, this model can face the so called “curse of dimensionality” problem that can be solved by imposing a nonparametric dependence on some unknown projection of the carriers. More precisely, we assume that the observations (y i ,x i ,t i ), 1≤i≤n, are such that t i ∈ℝq, x i ∈ℝp and y i |(x i ,t i )∼F(⋅,μ i ) with \(\mu_{i}=H (\eta(\boldsymbol{\alpha}^{\mathrm{T}}\mathbf{t}_{i})+\mathbf {x}_{i}^{\mathrm{T}}\boldsymbol{\beta} )\), for some known distribution function F and link function H. The function η:ℝ→ℝ and the parameters α and β are unknown and to be estimated. This model is known as the generalized partly linear single-index model.
In this paper, we introduce a family of robust estimates for the parametric and nonparametric components under a generalized partially linear single-index model. It is shown that the estimates of α and β are root-n consistent and asymptotically normally distributed. Through a Monte Carlo study, we compare the performance of the proposed estimators with that of the classical ones.
Similar content being viewed by others
References
Azadeh A, Salibian-Barrera M (2011, to appear). An outlier-robust fit for generalised additive models with applications to outbreak detection. J Am Stat Assoc. Available at http://www.stat.ubc.ca/~matias/rgam-rev1-authors.pdf
Bianco A, Boente G (2002) On the asymptotic behavior of one-step estimation. Stat Probab Lett 60:33–47
Bianco A, Yohai V (1995) Robust estimation in the logistic regression model. In: Lecture notes in statistics, vol 109. Springer, New York, pp 17–34
Bianco A, García Ben M, Yohai V (2005) Robust estimation for linear regression with asymmetric errors. Can J Stat 33:511–528
Boente G, Rodriguez D (2010) Robust inference in generalized partially linear models. Comput Stat Data Anal 54:2942–2966
Boente G, He X, Zhou J (2006) Robust estimates in generalized partially linear models. Ann Stat 34:2856–2878
Cantoni E, Ronchetti E (2001) Robust inference for generalized linear models. J Am Stat Assoc 96:1022–1030
Carroll R, Fan J, Gijbels I, Wand M (1997) Generalized partially linear single-index models. J Am Stat Assoc 92:477–489
Croux C, Haesbroeck G (2002) Implementing the Bianco and Yohai estimator for logistic regression. Comput Stat Data Anal 44:273–295
Delecroix M, Härdle W, Hristache M (2003) Efficient estimation in conditional single-index regression. J Multivar Anal 86:213–226
Friedman J, Stuetzle W (1981) Projection pursuit regression. J Am Stat Assoc 76:817–823
Härdle W, Mammen E, Müller M (1998) Testing parametric versus semiparametric modeling in generalized linear models. J Am Stat Assoc 93:1461–1474
Härdle W, Müller M, Sperlich S, Werwatz A (2006) Nonparametric and semiparametric models. Springer, Berlin
Hastie TJ, Tibshirani RJ (1990) Generalized additive models. Chapman & Hall, CRC, New York
He X, Zhu Z, Fung W (2002) Estimation in a semiparametric model for longitudinal data with unspecified dependence structure. Biometrika 89:579–590
Künsch H, Stefanski L, Carroll R (1989) Conditionally unbiased bounded influence estimation in general regression models with applications to generalized linear models. J Am Stat Assoc 84:460–466
McCullagh P, Nelder J (1989) Generalized linear models, 2nd edn. Champman and Hall, London
Pollard D (1984) Convergence of stochastic processes. Springer series in statistics. Springer, New York
Robinson P (1988) Root-n consistent semiparametric regression. Econometrica 56:931–954
Rodriguez D (2008) Doctoral thesis, Universidad de Buenos Aires. Available at http://cms.dm.uba.ar/academico/carreras/doctorado/tesisdanielarodriguez.pdf
Severini T, Staniswalis J (1994) Quasi-likelihood estimation in semiparametric models. J Am Stat Assoc 89:501–511
Severini T, Wong W (1992) Profile likelihood and conditionally parametric models. Ann Stat 20:4 1768-1802
Stefanski L, Carroll R, Ruppert D (1986) Bounded score functions for generalized linear models. Biometrika 73:413–424
van der Vaart A (1988) Estimating a real parameter in a class of semiparametric models. Ann Stat 16(4):1450–1474
Wang JL, Xue L, Zhu L, Chong Y (2010) Estimation for a partial-linear single-index model. Ann Stat 38:246–274
Xia Y, Härdle W (2006) Semi-parametric estimation of partially linear single-index models. J Multivar Anal 97:1162–1184
Xia Y, Tong H, Li WK (1999) On extended partially linear single-index models. Biometrika 86:831–842
Yi GY, He W, Liang H (2009) Analysis of correlated binary data under partially linear single-index logistic models. J Multivar Anal 100:278–290
Author information
Authors and Affiliations
Corresponding author
Additional information
Communicated by Domingo Morales.
Rights and permissions
About this article
Cite this article
Boente, G., Rodriguez, D. Robust estimates in generalized partially linear single-index models. TEST 21, 386–411 (2012). https://doi.org/10.1007/s11749-011-0249-z
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s11749-011-0249-z
Keywords
- Asymptotic properties
- Generalized partly linear single-index models
- Rate of convergence
- Robust estimation
- Smoothing techniques