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

Ziqing Chang; Liugen Xue; Lixing ZHU

doi:10.1016/j.jmva.2010.02.005

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

Ziqing Chang
, Liugen Xue
, Lixing ZHU^*

^*Corresponding author for this work

Department of Mathematics

Research output: Contribution to journal › Journal article › peer-review

31 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 language	English
Pages (from-to)	1898-1901
Number of pages	4
Journal	Journal of Multivariate Analysis
Volume	101
Issue number	8
DOIs	https://doi.org/10.1016/j.jmva.2010.02.005
Publication status	Published - Sept 2010

User-Defined Keywords

Asymptotical efficiency
Least squares estimation
The single-index model

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10.1016/j.jmva.2010.02.005

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title = "On an asymptotically more efficient estimation of the single-index model",

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.",

keywords = "Asymptotical efficiency, Least squares estimation, The single-index model",

author = "Ziqing Chang and Liugen Xue and Lixing ZHU",

note = "Liugen Xue{\textquoteright}s research was supported by the National Natural Science Foundation of China (No. 10571008), the Natural Science Foundation of Beijing (No. 1072004) and Ph.D. Program Foundation of Ministry of Education of China (No. 20070005003). Lixing Zhu was supported by a grant from the Research Grants Council of Hong Kong, Hong Kong, China.",

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doi = "10.1016/j.jmva.2010.02.005",

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AU - Chang, Ziqing

AU - Xue, Liugen

AU - ZHU, Lixing

N1 - Liugen Xue’s research was supported by the National Natural Science Foundation of China (No. 10571008), the Natural Science Foundation of Beijing (No. 1072004) and Ph.D. Program Foundation of Ministry of Education of China (No. 20070005003). Lixing Zhu was supported by a grant from the Research Grants Council of Hong Kong, Hong Kong, China.

PY - 2010/9

Y1 - 2010/9

N2 - 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.

AB - 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.

KW - Asymptotical efficiency

KW - Least squares estimation

KW - The single-index model

UR - https://www.scopus.com/pages/publications/77953021885

U2 - 10.1016/j.jmva.2010.02.005

DO - 10.1016/j.jmva.2010.02.005

M3 - Journal article

AN - SCOPUS:77953021885

SN - 0047-259X

VL - 101

SP - 1898

EP - 1901

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

IS - 8

ER -

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

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