Rank-based inference for the single-index model

This paper is concerned with estimating the coefficients in single-index models. We develop a robust estimator, which combines the ideas of rank-based regression inference and outer product of gradients. Both asymptotic and numerical results show that the proposed procedure has better performance than the least-squares-based method when the errors deviate from normal.

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Year of publication:	2012
Authors:	Feng, Long ; Zou, Changliang ; Wang, Zhaojun
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 3, p. 535-541
Publisher:	Elsevier
Subject:	Asymptotic efficiency \| Local polynomial regression \| Outer product of gradients \| Wilcoxon rank loss function

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

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010571764