A robust and efficient estimation method for single-index varying-coefficient models

A new estimation procedure based on modal regression is proposed for single-index varying-coefficient models. The proposed method achieves better robustness and efficiency than that of Xue and Pang (2013). We establish the asymptotic normalities of proposed estimators and evaluate the performance of the proposed method by a numerical simulation.

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Year of publication:	2014
Authors:	Yang, Hu ; Guo, Chaohui ; Lv, Jing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 94.2014, C, p. 119-127
Publisher:	Elsevier
Subject:	Asymptotic normality \| Local linear smoothing \| Modal regression \| Robust estimation \| Single-index varying-coefficient models

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010930590