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

DOI10.1016/J.JSPI.2010.11.018zbMATH Open1207.62089OpenAlexW2075428900MaRDI QIDQ629097FDOQ629097

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

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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)

Cites Work

• Optimal smoothing in single-index models
• Semi-parametric estimation of partially linear single-index models
• Generalized Partially Linear Single-Index Models
• Semiparametric least squares (SLS) and weighted SLS estimation of single-index models
• Local linear regression smoothers and their minimax efficiencies
• Nonparametric checks for single-index models
• An Effective Bandwidth Selector for Local Least Squares Regression
• Variable selection for the single-index model
• Title not available (Why is that?)
• Semiparametric Estimation of Index Coefficients
• Identifiability of single-index models and additive-index models
• Direct estimation of the index coefficient in a single-index model
• Bandwidth choice for nonparametric regression
• Title not available (Why is that?)
• On extended partially linear single-index models
• How Far Are Automatically Chosen Regression Smoothing Parameters From Their Optimum?
• On projection pursuit regression
• On variance estimation in nonparametric regression
• Smooth Location-Dependent Bandwidth Selection for Local Polynomial Regression
• Error variance estimation for the single-index model
• Quasi-Likelihood Regression with Multiple Indices and Smooth Link and Variance Functions

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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