Estimation and testing for partially linear single-index models

DOI10.1214/10-AOS835MaRDI QIDQ95718zbMATH OpenOpenAlexWikidataFDO

Authors Hua Liang, Xiang Liu, Runze Li, Chih-Ling Tsai

Publication date 1 December 2010

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.3509

zbMATH Keywords

efficiencyhypothesis testinglocal linear regressionnonparametric regressionprofile likelihoodSCAD

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Linear regression; mixed models (62J05) Monte Carlo methods (65C05)

Abstract: In partially linear single-index models, we obtain the semiparametrically efficient profile least-squares estimators of regression coefficients. We also employ the smoothly clipped absolute deviation penalty (SCAD) approach to simultaneously select variables and estimate regression coefficients. We show that the resulting SCAD estimators are consistent and possess the oracle property. Subsequently, we demonstrate that a proposed tuning parameter selector, BIC, identifies the true model consistently. Finally, we develop a linear hypothesis test for the parametric coefficients and a goodness-of-fit test for the nonparametric component, respectively. Monte Carlo studies are also presented.

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Cited in

(only showing first 100 items - show all)

• SCAD-penalized regression in high-dimensional partially linear models
• Variable selection and semiparametric efficient estimation for the heteroscedastic partially linear single-index model
• Dimension reduction based on conditional multiple index density function
• Estimation in linear regression models with measurement errors subject to single-indexed distortion
• Estimation and hypothesis test on partial linear models with additive distortion measurement errors
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• Time-varying quantile single-index model for multivariate responses
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• Simultaneous confidence band for single-index random effects models with longitudinal data
• Semiparametric efficient estimation for partially linear single-index models with responses missing at random
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• The adaptive L1-penalized LAD regression for partially linear single-index models
• Semi-parametric estimation of partially linear single-index models
• Semiparametric GEE analysis in partially linear single-index models for longitudinal data
• Single-index composite quantile regression with heteroscedasticity and general error distributions
• Model structure selection in single-index-coefficient regression models
• Sparse semiparametric regression when predictors are mixture of functional and high-dimensional variables
• Quantile regression for single-index-coefficient regression models
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