Adaptive estimation under single-index constraint in a regression model

Abstract

The problem of adaptive multivariate function estimation in the single-index regression model with random design and weak assumptions on the noise is investigated. A novel estimation procedure that adapts simultaneously to the unknown index vector and the smoothness of the link function by selecting from a family of specific kernel estimators is proposed. We establish a pointwise oracle inequality which, in its turn, is used to judge the quality of estimating the entire function (“global” oracle inequality). Both the results are applied to the problems of pointwise and global adaptive estimation over a collection of Hölder and Nikol’skii functional classes, respectively.