Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154894 | Statistics & Probability Letters | 2012 | 7 Pages |
Abstract
This paper is concerned with estimating the coefficients in single-index models. We develop a robust estimator, which combines the ideas of rank-based regression inference and outer product of gradients. Both asymptotic and numerical results show that the proposed procedure has better performance than the least-squares-based method when the errors deviate from normal.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Long Feng, Changliang Zou, Zhaojun Wang,