Score estimation in the monotone single index model

15 Dec 2017 Fadoua Balabdaoui Piet Groeneboom Kim Hendrickx

We consider estimation of the regression parameter in the single index model where the link function $\psi$ is monotone. For this model it has been proposed to estimate the link function nonparametrically by the monotone least square estimate $\hat\psi_{n\alpha}$ for a fixed regression parameter $\alpha$ and to estimate the regression parameter by minimizing the sum of squared deviations $\sum_i\{Y_i-\hat\psi_{n\alpha}(\alpha^T X_i)\}^2$ over $\alpha$, where $Y_i$ are the observations and $ X_i$ the corresponding covariates... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY