Sparse Single Index Models for Multivariate Responses

Joint models are popular for analyzing data with multivariate responses. We propose a sparse multivariate single index model, where responses and predictors are linked by unspecified smooth functions and multiple matrix level penalties are employed to select predictors and induce low-rank structures across responses. An alternating direction method of multipliers based algorithm is proposed for model estimation. We demonstrate the effectiveness of proposed model in simulation studies and an application to a genetic association study. Supplementary materials for this article are available online.