Single-index-coefficient regression models (SICRM) have been proposed and used in the literature for avoiding the “curse of dimensionality”. However, there is no efficient model structure determination methodology for the SICRM. This may cause a tendency to use models that are much larger...

The increment ratio (IR) statistic was first defined and studied in Surgailis et al. (2007) [19] for estimating the memory parameter either of a stationary or an increment stationary Gaussian process. Here three extensions are proposed in the case of stationary processes. First, a...