We propose a novel broadcasting idea to model the nonlinearity in tensor regression non-parametrically. Unlike existing non-parametric tensor regression models, the resulting model strikes a good balance between flexibility and interpretability. A penalized estimation and corresponding algorithm are proposed. Our theoretical investigation, which allows the dimensions of the tensor covariate to diverge, indicates that the proposed estimation enjoys a desirable convergence rate. We also provide a minimax lower bound, which characterizes the optimality of the proposed estimator in a wide range of scenarios. Numerical experiments are conducted to confirm the theoretical finding and show that the proposed model has advantages over existing linear counterparts.
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