Signed Support Recovery for Single Index Models in High-Dimensions

Abstract: In this paper we study the support recovery problem for single index models $Y=f(\boldsymbol{X}^{\intercal} \boldsymbol{\beta},\varepsilon)$, where $f$ is an unknown link function, $\boldsymbol{X}\sim N_p(0,\mathbb{I}{p})$ and $\boldsymbol{\beta}$ is an $s$-sparse unit vector such that $\boldsymbol{\beta}{i}\in {\pm\frac{1}{\sqrt{s}},0}$. In particular, we look into the performance of two computationally inexpensive algorithms: (a) the diagonal thresholding sliced inverse regression (DT-SIR) introduced by Lin et al. (2015); and (b) a semi-definite programming (SDP) approach inspired by Amini & Wainwright (2008). When $s=O(p^{1-\delta})$ for some $\delta>0$, we demonstrate that both procedures can succeed in recovering the support of $\boldsymbol{\beta}$ as long as the rescaled sample size $\kappa=\frac{n}{s\log(p-s)}$ is larger than a certain critical threshold. On the other hand, when $\kappa$ is smaller than a critical value, any algorithm fails to recover the support with probability at least $\frac{1}{2}$ asymptotically. In other words, we demonstrate that both DT-SIR and the SDP approach are optimal (up to a scalar) for recovering the support of $\boldsymbol{\beta}$ in terms of sample size. We provide extensive simulations, as well as a real dataset application to help verify our theoretical observations.