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Abstract:
In this paper, we study the estimation for a partial-linear single-index model. A two-stage estimation procedure is proposed to estimate the link function for the single index and the parameters in the single index, as well as the parameters in the linear component of the model. Asymptotic normality is established for both parametric components. For the index, a constrained estimating equation leads to an asymptotically more efficient estimator than existing estimators in the sense that it is of a smaller limiting variance. The estimator of the nonparametric link function achieves optimal convergence rates, and the structural error variance is obtained. In addition, the results facilitate the construction of confidence regions and hypothesis testing for the unknown parameters. A simulation study is performed and an application to a real dataset is illustrated. The extension to multiple indices is briefly sketched.
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Source :
ANNALS OF STATISTICS
ISSN: 0090-5364
Year: 2010
Issue: 1
Volume: 38
Page: 246-274
4 . 5 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
JCR Journal Grade:1
CAS Journal Grade:1
Cited Count:
WoS CC Cited Count: 153
SCOPUS Cited Count: 165
ESI Highly Cited Papers on the List: 11 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 1
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