On completely data-driven bandwidth selection for single-index models

DOI10.1016/J.JSPI.2010.11.018MaRDI QIDQ629097zbMATH OpenOpenAlexFDO

Authors Juan-Miguel Gracia

Publication date 8 March 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.11.018

zbMATH Keywords

cross-validationbandwidth selectionsingle-index modelserror variance estimationvarying cross-validation

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• scientific article; zbMATH DE number 739534 (Why is no real title available?)
• scientific article; zbMATH DE number 2063755 (Why is no real title available?)
• An Effective Bandwidth Selector for Local Least Squares Regression
• Bandwidth choice for nonparametric regression
• Direct estimation of the index coefficient in a single-index model
• Error variance estimation for the single-index model
• Generalized Partially Linear Single-Index Models
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• Identifiability of single-index models and additive-index models
• Local linear regression smoothers and their minimax efficiencies
• Nonparametric checks for single-index models
• On extended partially linear single-index models
• On projection pursuit regression
• On variance estimation in nonparametric regression
• Optimal smoothing in single-index models
• Quasi-Likelihood Regression with Multiple Indices and Smooth Link and Variance Functions
• Semi-parametric estimation of partially linear single-index models
• Semiparametric Estimation of Index Coefficients
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Smooth Location-Dependent Bandwidth Selection for Local Polynomial Regression
• Variable selection for the single-index model

Cited in

(2)

• Optimal bandwidth selection for conditional efficiency measures: a data-driven approach
• Semiparametric estimation of fixed effects panel data single-index model

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