M-estimators for single-index model using B-spline

The single-index model is an important tool in multivariate nonparametric regression. This paper deals with M-estimators for the single-index model. Unlike the existing M-estimator for the single-index model, the unknown link function is approximated by B-spline and M-estimators for the parameter and the nonparametric component are obtained in one step. The proposed M-estimator of unknown function is shown to attain the convergence rate as that of the optimal global rate of convergence of estimators for nonparametric regression according to Stone (Ann Stat 8:1348–1360, <CitationRef CitationID="CR36">1980</CitationRef>; Ann Stat 10:1040–1053, <CitationRef CitationID="CR37">1982</CitationRef>), and the M-estimator of parameter is <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$\sqrt{n}$$</EquationSource> </InlineEquation>-consistent and asymptotically normal. A small sample simulation study showed that the M-estimators proposed in this paper are robust. An application to real data illustrates the estimator’s usefulness. Copyright Springer-Verlag Berlin Heidelberg 2014