Signed Support Recovery for Single Index Models in High-Dimensions

preprint2016arXivOpen access

Abstract

In this paper we study the support recovery problem for single index models Y=f(X⊺β,ε)Y=f(\boldsymbol{X}^{\intercal} \boldsymbolβ,\varepsilon), where ff is an unknown link function, X∼Np(0,Ip)\boldsymbol{X}\sim N_p(0,\mathbb{I}_{p}) and β\boldsymbolβ is an ss-sparse unit vector such that βi∈{±1s,0}\boldsymbolβ_{i}\in \{\pm\frac{1}{\sqrt{s}},0\}. In particular, we look into the performance of two computationally inexpensive algorithms: (a) the diagonal thresholding sliced inverse regression (DT-SIR) introduced by Lin et al. (2015); and (b) a semi-definite programming (SDP) approach inspired by Amini & Wainwright (2008). When s=O(p1−δ)s=O(p^{1-δ}) for some δ>0δ>0, we demonstrate that both procedures can succeed in recovering the support of β\boldsymbolβ as long as the rescaled sample size κ=nslog⁡(p−s)κ=\frac{n}{s\log(p-s)} is larger than a certain critical threshold. On the other hand, when κκ is smaller than a critical value, any algorithm fails to recover the support with probability at least 12\frac{1}{2} asymptotically. In other words, we demonstrate that both DT-SIR and the SDP approach are optimal (up to a scalar) for recovering the support of β\boldsymbolβ in terms of sample size. We provide extensive simulations, as well as a real dataset application to help verify our theoretical observations.

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