Minimum profile Hellinger distance estimation for single-index models

Abstract

Single-index models are the most commonly used covariate models and are widely used in statistical applications. Such models include linear models and generalised linear models as special cases. This article investigates efficient and robust estimates for single-index models. For this purpose, we employ the minimum distance approach which in general is automatically robust with respect to the stability of the quantity being estimated. In particular, the minimum Hellinger distance approach introduced by Beran [(1977), ‘Minimum Hellinger Distance Estimators for Parametric Models’, Annals of Statistics, 5, 445–463] produces estimators that are asymptotically efficient at the model density and simultaneously possess excellent robustness properties. In this paper, we construct a minimum profile Hellinger distance estimator (MPHDE) for single-index models. We prove the consistency of the proposed MPHDE and examine its finite-sample performance and robustness properties via Monte Carlo simulation studies and real data analysis.