Department of Mathematics
Simultaneous confidence bands and hypothesis testing for single-index models
In this paper, we propose simultaneous confidence bands for the nonparametric link function in single-index models in the presence of a nuisance index parameter. We establish the asymptotic properties for the link function and its derivative that allow simultaneous confidence bands for various inference tasks. In addition, we propose an adaptive Neyman test statistic for testing the linearity of the link function. We then conduct simulation studies to evaluate the performance of the proposed method, and apply them to two data sets for illustration.
Adaptive Neyman test, Difference-based estimator, Local linear smoother, Residual variance, Simultaneous confidence band, Single-index model
Source Publication Title
Academia Sinica, Institute of Statistical Science
Li, Gaorong, Heng Peng, Kai Dong, and Tiejun Tong. "Simultaneous confidence bands and hypothesis testing for single-index models." Statistica Sinica 24.2 (2015): 937-955.