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
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Soumis le : mercredi 24 mai 2006 - 12:21:38
Dernière modification le : jeudi 28 juin 2018 - 14:38:46
Document(s) archivé(s) le : dimanche 4 avril 2010 - 23:39:56
Marian Hristache, Anatoli Juditsky, Vladimir Spokoiny. Direct Estimation of the Index Coefficients in a Single-index Model. RR-3433, INRIA. 1998. 〈inria-00073257〉
