Robust direction estimation in single-index models via cumulative divergence

In this paper, we address direction estimation in single-index models, with a focus on heavy-tailed data applications. Our method utilizes cumulative divergence to directly capture the conditional mean dependence between the response variable and the index predictor, resulting in a model-free property that obviates the need for initial link function estimation. Furthermore, our approach allows heavy-tailed predictors and is robust against the presence of outliers, leveraging the rank-based nature of cumulative divergence. We establish theoretical properties for our proposal under mild regularity conditions and illustrate its solid performance through comprehensive simulations and real data analysis.