On a Low-Rank Matrix Single-Index Model

The Tien Mai ()
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The Tien Mai: Department of Mathematical Sciences, Norwegian University of Science and Technology, 7034 Trondheim, Norway

Mathematics, 2023, vol. 11, issue 9, 1-16

Abstract: In this paper, we conduct a theoretical examination of a low-rank matrix single-index model. This model has recently been introduced in the field of biostatistics, but its theoretical properties for jointly estimating the link function and the coefficient matrix have not yet been fully explored. In this paper, we make use of the PAC-Bayesian bounds technique to provide a thorough theoretical understanding of the joint estimation of the link function and the coefficient matrix. This allows us to gain a deeper insight into the properties of this model and its potential applications in different fields.

Keywords: low-rank matrix; single-index model; PAC-Bayes bounds; optimal rate; oracle inequality (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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