On an asymptotically more efficient estimation of the single-index model

Ziqing Chang, Liugen Xue, Lixing ZHU*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

25 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)1898-1901
Number of pages4
JournalJournal of Multivariate Analysis
Volume101
Issue number8
DOIs
Publication statusPublished - Sep 2010

Scopus Subject Areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Asymptotical efficiency
  • Least squares estimation
  • The single-index model

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