Bias-corrected smoothed score function for single-index models

Qiang Chen, Lu Lin*, Lixing ZHU

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

2 Citations (Scopus)

Abstract

We in this paper investigate smoothed score function based confidence regions for parameters in single-index models. Because a plug-in estimator of nonparametric link function causes the bias of smoothed score function to be non-negligible, the limit of the score function is asymptotically normal with a non-zero mean due to the slow convergence rate of nonparametric estimation. A bias-corrected smoothed score function is recommended for achieving centered normal limit without under-smoothing or high order kernel, and then the confidence region can be constructed by chi-square distribution. Simulation studies are carried out to assess the performance of bias-corrected local likelihood, and to compare with normal approximation approach.

Original languageEnglish
Pages (from-to)45-58
Number of pages14
JournalMetrika
Volume71
Issue number1
DOIs
Publication statusPublished - Nov 2009

Scopus Subject Areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Confidence region
  • Local likelihood
  • Single-index model
  • Smoothing score

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