Estimating coefficients of single-index regression models by minimizing variation

doi:10.1080/00949655.2017.1390574

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	Estimating coefficients of single-index regression models by minimizing variation
	Lou, Dongfang 1; Ma, Zhiyuan 2
刊名	JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION
	2018
卷号	88 期号:2 页码:343-358
关键词	Single-index regression model minimum variation estimation iterative marginal optimization
ISSN号	0094-9655
DOI	10.1080/00949655.2017.1390574
英文摘要	This paper proposes a novel estimation of coefficients in single-index regression models. Unlike the traditional average derivative estimation [Powell JL, Stock JH, Stoker TM. Semiparametric estimation of index coefficients. Econometrica. 1989;57(6):1403-1430; Hardle W, Thomas M. Investigating smooth multiple regression by the method of average derivatives. J Amer Statist Assoc. 1989;84(408):986-995] and semiparametric least squares estimation [Ichimura H. Semiparametric least squares (sls) and weighted sls estimation of single-index models. J Econometrics. 1993;58(1):71-120; Hardle W, Hall P, Ichimura H. Optimal smoothing in single-index models. Ann Statist. 1993;21(1):157-178], the procedure developed in this paper is to estimate the coefficients directly by minimizing the mean variation function and does not involve estimating the link function nonparametrically. As a result, it avoids the selection of the bandwidth or the number of knots, and its implementation is more robust and easier. The resultant estimator is shown to be consistent. Numerical results and real data analysis also show that the proposed procedure is more applicable against model free assumptions.
WOS研究方向	Computer Science ; Mathematics
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000415881300009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/817]
专题	上海财经大学
通讯作者	Lou, Dongfang
作者单位	1.Shanghai Univ Finance & Econ, Dept Stat & Management, Shanghai, Peoples R China; 2.Shanghai Univ Finance & Econ, Dept Publ Econ & Adm, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Lou, Dongfang,Ma, Zhiyuan. Estimating coefficients of single-index regression models by minimizing variation[J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION,2018,88(2):343-358.
APA	Lou, Dongfang,&Ma, Zhiyuan.(2018).Estimating coefficients of single-index regression models by minimizing variation.JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION,88(2),343-358.
MLA	Lou, Dongfang,et al."Estimating coefficients of single-index regression models by minimizing variation".JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION 88.2(2018):343-358.