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Hristache, Marian [Author]; Juditsky, Anatoli [Author]; Spokoiny, Vladimir [Author]

Direct estimation of the index coefficients in a single-index model

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  • Media type: Text; Report; E-Book
  • Title: Direct estimation of the index coefficients in a single-index model
  • Contributor: Hristache, Marian [Author]; Juditsky, Anatoli [Author]; Spokoiny, Vladimir [Author]
  • Published: Weierstrass Institute for Applied Analysis and Stochastics publication server, 1998
  • Language: English
  • DOI: https://doi.org/10.20347/WIAS.PREPRINT.409
  • Keywords: 62H99 ; article ; single-index model -- index coefficients -- link function -- direct estimation -- iterations ; 62G05
  • Origination:
  • Footnote: Diese Datenquelle enthält auch Bestandsnachweise, die nicht zu einem Volltext führen.
  • Description: We propose a new method of estimating the index coefficients in a single index model which is based on iterative improvement of the average derivative estimator. The resulting estimate is √n-consistent under mild assumptions on the model.
  • Access State: Open Access