Efficient estimation for the heteroscedastic single-index varying coefficient models

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

6 Scopus Citations
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Author(s)

Detail(s)

Original languageEnglish
Pages (from-to)84-93
Journal / PublicationStatistics and Probability Letters
Volume110
Publication statusPublished - 1 Mar 2016
Externally publishedYes

Abstract

We propose a semiparametric estimator for the heteroscedastic single-index varying coefficient model. The estimator is proved to attain the semiparametric efficiency bound. Some simulation studies and a real data application are conducted to evaluate the proposed methods.

Research Area(s)

  • Efficiency, Estimating equation, Semiparametric efficiency bound, Single-index varying coefficient model