Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146329 | Journal of Multivariate Analysis | 2010 | 4 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Ziqing Chang, Liugen Xue, Lixing Zhu,