کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1145806 1489678 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A robust and efficient estimation method for single index models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
A robust and efficient estimation method for single index models
چکیده انگلیسی
Single index models are natural extensions of linear models and overcome the so-called curse of dimensionality. They have applications to many fields, such as medicine, economics and finance. However, most existing methods based on least squares or likelihood are sensitive when there are outliers or the error distribution is heavy tailed. Although an M-type regression is often considered as a good alternative to those methods, it may lose efficiency for normal errors. In this paper, we propose a new robust and efficient estimation procedure based on local modal regression for single index models. The asymptotic normality of proposed estimators for both the parametric and nonparametric parts is established. We show that the proposed estimators are as asymptotically efficient as the least-square-based estimators when there are no outliers and the error distribution is normal. A modified EM algorithm is presented for efficient implementation. The simulations and real data analysis are conducted to illustrate the finite sample performance of the proposed method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 122, November 2013, Pages 226-238
نویسندگان
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