Document Type
Journal Article
Department/Unit
Department of Mathematics
Title
On an asymptotically more efficient estimation for the single-index model
Language
English
Abstract
In this note, we revisit the single-index model with heteroscedastic error, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance. © 2010 Elsevier Inc.
Keywords
Asymptotical efficiency, Least squares estimation, The single-index model
Publication Date
2010
Source Publication Title
Journal of Multivariate Analysis
Volume
101
Issue
8
Start Page
1898
End Page
1901
Publisher
Elservier
DOI
10.1016/j.jmva.2010.02.005
Link to Publisher's Edition
http://dx.doi.org/10.1016/j.jmva.2010.02.005
ISSN (print)
0047259X
APA Citation
Chang, Z., Xue, L., & Zhu, L. (2010). On an asymptotically more efficient estimation for the single-index model. Journal of Multivariate Analysis, 101 (8), 1898-1901. https://doi.org/10.1016/j.jmva.2010.02.005