Estimation for single-index and partially linear single-index integrated models
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Publication:5963528
DOI10.1214/15-AOS1372zbMATH Open1331.62190arXiv1601.06003MaRDI QIDQ5963528FDOQ5963528
Dag Tjøstheim, Chaohua Dong, Jiti Gao
Publication date: 22 February 2016
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Estimation mainly for two classes of popular models, single-index and partially linear single-index models, is studied in this paper. Such models feature nonstationarity. Orthogonal series expansion is used to approximate the unknown integrable link functions in the models and a profile approach is used to derive the estimators. The findings include the dual rate of convergence of the estimators for the single-index models and a trio of convergence rates for the partially linear single-index models. A new central limit theorem is established for a plug-in estimator of the unknown link function. Meanwhile, a considerable extension to a class of partially nonlinear single-index models is discussed in Section 4. Monte Carlo simulation verifies these theoretical results. An empirical study furnishes an application of the proposed estimation procedures in practice.
Full work available at URL: https://arxiv.org/abs/1601.06003
Recommendations
single-index modelsintegrated time seriespartially linear single-index modelsorthogonal series expansiondual convergence ratesa trio of convergence rates
Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20)
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Cited In (35)
- Estimation for single-index and partially linear single-index integrated models
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