Efficient estimation for the heteroscedastic single-index varying coefficient models

被引：6
|
作者：
Lai, Peng [1 ]
Zhang, Qingzhao [2 ,3 ]
Lian, Heng [4 ]
Wang, Qihua [5 ]
机构：
[1] Nanjing Univ Informat Sci & Technol, Sch Math & Stat, Nanjing, Jiangsu, Peoples R China
[2] Xiamen Univ, Sch Econ, Xiamen, Peoples R China
[3] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China
[4] Univ New S Wales, Sch Math & Stat, Sydney, NSW 2052, Australia
[5] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2016年 / 110卷
基金：
中国博士后科学基金; 中国国家自然科学基金; 美国国家科学基金会;
关键词：
Single-index varying coefficient model; Efficiency; Semiparametric efficiency bound; Estimating equation; EMPIRICAL LIKELIHOOD; VARIABLE SELECTION;
D O I：
10.1016/j.spl.2015.12.005
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We propose a semiparametric estimator for the heteroscedastic single-index varying coefficient model. The estimator is proved to attain the semiparametric efficiency bound. Some simulation studies and a real data application are conducted to evaluate the proposed methods. (C) 2015 Elsevier B.V. All rights reserved.
引用
收藏
页码：84 / 93
页数：10
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