Cui, Xia; Härdle, Wolfgang Karl; Zhu, Lixing - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
finan- cial econometrics. Estimating and testing the model index coefficients beta is one of the most important objectives … estimating functions, to study the generalized single-index model. The procedure is to first relax the equality constraint to one … with (d - 1) components of beta lying in an open unit ball, and then to construct the associated (d - 1) estimating …