Article ID Journal Published Year Pages File Type
1146329 Journal of Multivariate Analysis 2010 4 Pages PDF
Abstract

In this note, we revisit the single-index model with heteroscedastic error, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance.

Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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