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
ISSN (print)
0047259X
Recommended Citation
Chang, Ziqing, Liugen Xue, and Lixing Zhu. "On an asymptotically more efficient estimation for the single-index model." Journal of Multivariate Analysis 101.8 (2010): 1898-1901.