We propose a novel varying coefficient model (VCM), called principal varying coefficient model (PVCM), by characterizing the varying coefficients through linear combinations of a few principal functions. Compared with the conventional VCM, PVCM reduces the actual number of nonparametric...

We consider variable selection in the single-index model. We prove that the popular leave-m-out crossvalidation method has different behaviour in the single-index model from that in linear regression models or nonparametric regression models. A new consistent variable selection method, called...

Lack-of-fit checking for parametric and semiparametric models is essential in reducing misspecification. The efficiency of most existing model-checking methods drops rapidly as the dimension of the covariates increases. We propose to check a model by projecting the fitted residuals along a...

Motivated by two practical problems, we propose a new procedure for estimating a semivarying-coefficient model. Asymptotic properties are established which show that the bias of the parameter estimator is of order h-super-3 when a symmetric kernel is used, where h is the bandwidth, and the...

An important epidemiological problem is to estimate the decay through time of immunity following infection. For this purpose, we propose a semiparametric time series epidemic model that is based on the mechanism of the susceptible-infected-recovered-susceptible system to analyse complex time...

Searching for an effective dimension reduction space is an important problem in regression, especially for high dimensional data. We propose an adaptive approach based on semiparametric models, which we call the (conditional) minimum average variance estimation (MAVE) method, within quite a...

In this paper, the asymptotic optimality of the cross validation bandwidth selector for the local polynomial fitting under strongly mixing dependence is obtained. The asymptotic normality of the bandwidth selected by the cross-validation method is derived, which is an extension of W. Härdle, P....