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

Varying-coefficient single-index model

In this paper, the varying-coefficient single-indexmodel (VCSIM) is proposed. It can be seen as a generalization of the semivaryingcoefficient model by changing its constant coefficient part to a nonparametric component, or a generalization of the partially linear single-indexmodel by replacing the constant coefficients of its linear part with varying coefficients. Based on the local linear met...

Estimation of single-index quantile regression Model

Abstract The conditional quantile function m(X) of response variable Y given the value of covariate X is modeled through a single-index model, i.e. m(X) = m(θ 0 X) for some unknown parameter vector θ0. An iterated algorithm is proposed to estimate θ0. To establish the root-n consistency of the estimator, we prove a convexity lemma for almost sure convergence, parallel to the results by Pollard ...

Direct Semiparametric Estimation of Single-index Models with Discrete Covariates

Ha .. rdle and Stoker (1989), Powell, et al. (1989), and Stoker (1991) have developed average derivative estimators of the parameter in the singleindex model E(Y X=x) = G(x ), where G is an unknown function and X is a random vector. These estimators are non-iterative and, therefore, easy to compute. However, they require X to be continuously distributed, which precludes their use in many applic...

Conditional density estimation in a censored single-index regression model

Efficient estimation and model selection for single-index varying-coefficient models

The single-index varying-coefficient models include many types of popular semiparametric models, i.e. single-index models, partially linear models, varying-coefficient models, and so on. In this paper, we first establish the semiparametric efficiency bound for the single-index varying-coefficient model, and develop an estimation method based on the efficient estimating equations. Although our m...