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Direct Estimation of the Index Coefficients in a Single-index Model

Marian Hristache 1 Anatoli Juditsky Vladimir Spokoiny
1 IS2 - Statistical Inference for Industry and Health
Inria Grenoble - Rhône-Alpes, LBBE - Laboratoire de Biométrie et Biologie Evolutive - UMR 5558
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.
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https://hal.inria.fr/inria-00073257
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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

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Marian Hristache, Anatoli Juditsky, Vladimir Spokoiny. Direct Estimation of the Index Coefficients in a Single-index Model. RR-3433, INRIA. 1998. ⟨inria-00073257⟩

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