WIAS Preprint No. 409, (1998)

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


Authors

  • Hristache, Marian
  • Juditsky, Anatoli
  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62G05 62H40 62H40

Keywords

  • single-index model, index coefficients, link function, direct estimation, iterations

DOI

10.20347/WIAS.PREPRINT.409

Abstract

We propose a new method of estimating the index coefficients in a single index model which is based on iterative improvement of the average derivative estimator. The resulting estimate is √n-consistent under mild assumptions on the model.

Appeared in

  • Ann. Statist., 29, no. 6 (2001), pp. 1537 - 1566

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