Variable selection for the single-index model
单指标模型的变量选择
We consider variable selection in the single-index model. We prove that the popular leave-m-out crossvalidation method has different behaviour in the single-index model from that in linear regression models or nonparametric regression models. A new consistent variable selection method, called separated crossvalidation, is proposed. Further analysis suggests that the method has better finite-sample performance and is computationally easier than leave-m-out crossvalidation.…