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Author:

Wang, Jane-Ling (Wang, Jane-Ling.) | Xue, Liugen (Xue, Liugen.) (Scholars:薛留根) | Zhu, Lixing (Zhu, Lixing.) | Chong, Yun Sam (Chong, Yun Sam.)

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Scopus SCIE

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.

Keyword:

kernel smoother local linear smoothing Dimension reduction bandwidth two-stage estimation

Author Community:

  • [ 1 ] [Wang, Jane-Ling]Univ Calif Davis, Dept Stat, Davis, CA 95616 USA
  • [ 2 ] [Xue, Liugen]Beijing Univ Technol, Sch Appl Math & Phys, Beijing, Peoples R China
  • [ 3 ] [Zhu, Lixing]Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China
  • [ 4 ] [Chong, Yun Sam]William E Wecker Associates Inc, Novato, CA 94945 USA

Reprint Author's Address:

  • [Wang, Jane-Ling]Univ Calif Davis, Dept Stat, Davis, CA 95616 USA

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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

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WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 1

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