General rank-based estimation for regression single index models
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The authors consider a single index regression model and overcome deficiencies (in efficiency and robustness) of earlier estimators by a general rank-based estimation approach, which is based on minimizing a rank-based objective function of the residuals. They investigate the asymptotic properties of the estimators, especially consistency and asymptotic normality. To demonstrate the appeal of the rank estimators for dealing with heavy-tailed or contaminated error distributions, a simulation study is provided. A real-life example illustrates that the suggested procedure works well even in the presence of outliers.
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Cites work
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Cited in
(25)- The estimate of the rank for regression coefficient matrix in a median regression model
- Rank estimators for monotonic index models
- Robust estimation of single index models with responses missing at random
- Estimation and hypothesis test for partial linear single-index multiplicative models
- Rank-based test for partial functional linear regression models
- General local rank estimation for single-index varying coefficient models
- Iterative rank estimation for generalized linear models
- Strong consistency of the general rank estimator
- Rank-based inference for the single-index model
- Rank estimation of partially linear index models
- Focused information criterion and model averaging with generalized rank regression
- Varying coefficient single-index regression model with missing responses under rank-based modelling
- Detection of marginal heteroscedasticity for partial linear single-index models
- Single-index relative error regression models
- Robust estimation and selection for single-index regression model
- Generalised signed-rank estimation for nonlinear models with multidimensional indices
- Estimation of regression coefficients in multivariate rank-order models
- Generalised Rank Regression Estimator with Standard Error Adjusted Lasso
- Rank regression under possible model misspecification
- Detection of the symmetry of model errors for partial linear single-index models
- Two-stage rank estimation of quantile index models
- Nonlinear regression models with single‐index heteroscedasticity
- Robust empirical likelihood variable selection for the high dimensional single-index regression model
- Robust direction estimation in single-index models via cumulative divergence
- Estimation and hypothesis test for varying coefficient single-index multiplicative models
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