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

文献类型：期刊论文

作者Wang, Qihua1,2; Xue, Liugen3
刊名JOURNAL OF MULTIVARIATE ANALYSIS
出版日期2011
卷号102期号:1页码:1-19
关键词Dimension reduction Stepwise approach Pointwise confidence interval Confidence region
ISSN号0047-259X
DOI10.1016/j.jmva.2010.07.005
英文摘要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.
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000283564200001
出版者ELSEVIER INC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/11704]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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