Density-weighted averaged derivative estimator gives a computationally convenient consistent and asymptotically normally (CAN) distributed estimate of the parametric component of a semiparametric single index model. This model includes some important parametric models as special cases such as...

Density weighted averages are nonparametric quantities expressed by the expectation of a function of random variables with density weight. It is associated with parametric components of some semiparametric models, and we are concerned with an estimator of these quantities. Asymptotic properties...