Direct Estimation of the Index Coefficients in a Single-index Model - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Reports Year : 1998

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

Anatoli B. Juditsky
Vladimir Spokoiny
  • Function : Author

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.
Fichier principal
Vignette du fichier
RR-3433.pdf (325.48 Ko) Télécharger le fichier

Dates and versions

inria-00073257 , version 1 (24-05-2006)

Identifiers

  • HAL Id : inria-00073257 , version 1

Cite

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

Share

Gmail Facebook Twitter LinkedIn More