Abstract : We propose a new method of estimating the index coefficients in a single index model. It is based on iterative improvement of the average derivative estimator. The resulting estimate is $\sqrt{n}$--consistent under mild assumptions on the model.
https://hal.inria.fr/inria-00073257 Contributor : Rapport de Recherche InriaConnect in order to contact the contributor Submitted on : Wednesday, May 24, 2006 - 12:21:38 PM Last modification on : Friday, February 4, 2022 - 3:32:56 AM Long-term archiving on: : Sunday, April 4, 2010 - 11:39:56 PM
Marian Hristache, Anatoli Juditsky, Vladimir Spokoiny. Direct Estimation of the Index Coefficients in a Single-index Model. RR-3433, INRIA. 1998. ⟨inria-00073257⟩