Forward selection and estimation in high dimensional single index models

We propose a new variable selection and estimation technique for high dimensional single index models with unknown monotone smooth link function. Among many predictors, typically, only a small fraction of them have significant impact on prediction. In such a situation, more interpretable models with better prediction accuracy can be obtained by variable selection. In this article, we propose a new penalized forward selection technique which can reduce high dimensional optimization problems to several one dimensional optimization problems by choosing the best predictor and then iterating the selection steps until convergence. The advantage of optimizing in one dimension is that the location of optimum solution can be obtained with an intelligent search by exploiting smoothness of the criterion function. Moreover, these one dimensional optimization problems can be solved in parallel to reduce computing time nearly to the level of the one-predictor problem. Numerical comparison with the LASSO and the shrinkage sliced inverse regression shows very promising performance of our proposed method.