Linear regression estimation in non-linear single index models

Abstract: In this article, we consider the problem of estimating the index parameter $\alpha_0$ in the single index model $E[Y |X] = f_0(\alpha_0^T X)$ with $f_0$ the unknown ridge function defined on $\mathbb{R}$, $X$ a d-dimensional covariate and $Y$ the response. We show that when $X$ is Gaussian, then $\alpha_0$ can be consistently estimated by regressing the observed responses $Y_i$, $i = 1, . . ., n$ on the covariates $X_1, . . ., X_n$ after centering and rescaling. The method works without any additional smoothness assumptions on $f_0$ and only requires that $cov(f_0(\alpha_0^T X),\alpha_0^TX) \neq 0$, which is always satisfied by monotone and non-constant functions $f_0$. We show that our estimator is asymptotically normal and give the expression with its asymptotic variance. The approach is illustrated through a simulation study.