Statistical Modelling 11 (2011), 203–217
Estimation of single-index models based on boosting techniques
Florian Leitenstorfer
Ludwig-Maximilians-Universität München
Germany
Gerhard Tutz
Ludwig-Maximilians-Universität München
Germany
eMail: tutz@stat.uni-muenchen.de
Abstract:
In single-index models, the link or response function is not considered
as fixed. The data determine the form of the unknown link function. In
order to obtain a flexible form of the link function, we specify the
link function as an expansion in basis function and propose to estimate
parameters as well as the link function by weak learners within a
boosting framework. It is shown that the method is a strong competitor
to existing methods. The method is investigated in simulation studies
and applied to real data.
Keywords:
boosting; choice of link function; p-splines; single-index models
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