Stable direct estimation for GPLSIAMs using P-splines with dynamically updated boundaries

TL;DR

This paper presents a stable, efficient method for estimating GPLSIAMs using P-splines with dynamically updated boundaries, improving computational stability and speed over existing methods.

Contribution

It introduces a novel iterative approach utilizing model matrices and Fisher information for stable, fast estimation of single-index effects in GPLSIAMs.

Findings

Method remains stable where others fail

80.13 times faster than two-step methods

Confirmed empirical consistency through simulations

Abstract

Generalized partially linear single-index additive models (GPLSIAMs) have been increasingly applied across diverse areas due to their versatility in integrating functional flexibility with parametric dimension reduction while maintaining interpretability. However, the estimation presents severe computational challenges. This paper introduces a novel stable method that uses the model matrix for each single-index effect, defined by its single-index coefficients, and the penalized complete Fisher information matrix to dynamically update the boundaries of the single-index covariates within a unified iterative framework. The derived model matrices enable the fast computation of the estimated effective degrees of freedom and pointwise confidence bands for the single-index effects. The smoothing parameter updates are integrated into the iterative process via the generalized Fellner-Schall method, which recycles the derived matrix decompositions, thereby providing an efficient approximation to the global penalized optimization problem. Simulation studies with moderate sample sizes under non-Gaussian distributions confirm the empirical consistency of the estimation across multiple scenarios. Notably, the proposed approach remains stable where state-of-the-art competitive methods fail to recover true single-index coefficients and nonlinear functions, and is 80.13 times faster than the usual two-step method in the most computationally intensive scenario. The modeling advantage is illustrated through an application to Capital Bike Sharing data, where we deal with a single-index interaction effect for each year, with distinct single-index coefficients, a complex structure that makes competitive methods inapplicable. The proposed method is implemented in R, with functions available for reproducibility and transparency in the comparisons.