Statistical inference in partially-varying-coefficient single-index model

doi:10.1016/j.jmva.2010.07.005

CSpace > 应用数学研究所

	Statistical inference in partially-varying-coefficient single-index model
	Wang, Qihua1,2 ; Xue, Liugen 3
	2011
发表期刊	JOURNAL OF MULTIVARIATE ANALYSIS
ISSN	0047-259X
卷号	102 期号:1 页码:1-19
摘要	Consider a varying-coefficient single-index model which consists of two parts: the linear part with varying coefficients and the nonlinear part with a single-index structure, and are hence termed as varying-coefficient single-index models. This model includes many important regression models such as single-index models, partially linear single-index models, varying-coefficient model and varying-coefficient partially linear models as special examples. In this paper, we mainly study estimating problems of the varying-coefficient vector, the nonparametric link function and the unknown parametric vector describing the single-index in the model. A stepwise approach is developed to obtain asymptotic normality estimators of the varying-coefficient vector and the parametric vector, and estimators of the nonparametric link function with a convergence rate. The consistent estimator of the structural error variance is also obtained. In addition, asymptotic pointwise confidence intervals and confidence regions are constructed for the varying coefficients and the parametric vector. The bandwidth selection problem is also considered. A simulation study is conducted to evaluate the proposed methods, and real data analysis is also used to illustrate our methods. (C) 2010 Elsevier Inc. All rights reserved.
关键词	Dimension reduction Stepwise approach Pointwise confidence interval Confidence region
DOI	10.1016/j.jmva.2010.07.005
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000283564200001
出版者	ELSEVIER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11705
专题	应用数学研究所
通讯作者	Wang, Qihua
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Yunnan Univ, Sch Math & Stat, Kunming 650091, Peoples R China 3.Beijing Univ Technol, Coll Appl Sci, Beijing 100022, Peoples R China
推荐引用方式 GB/T 7714	Wang, Qihua,Xue, Liugen. Statistical inference in partially-varying-coefficient single-index model[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2011,102(1):1-19.
APA	Wang, Qihua,&Xue, Liugen.(2011).Statistical inference in partially-varying-coefficient single-index model.JOURNAL OF MULTIVARIATE ANALYSIS,102(1),1-19.
MLA	Wang, Qihua,et al."Statistical inference in partially-varying-coefficient single-index model".JOURNAL OF MULTIVARIATE ANALYSIS 102.1(2011):1-19.