On an asymptotically more efficient estimation of the single-index model
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.
Year of publication: |
2010
|
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Authors: | Chang, Ziqing ; Xue, Liugen ; Zhu, Lixing |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 101.2010, 8, p. 1898-1901
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Publisher: |
Elsevier |
Keywords: | The single-index model Asymptotical efficiency Least squares estimation |
Saved in:
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