Semi-parametric M-estimators in single-index models

被引：15

作者：

Delecroix, M

Hristache, M

机构：

[1] ENSAI, F-35170 Bruz, France

[2] CREST, F-35170 Bruz, France

来源：

BULLETIN OF THE BELGIAN MATHEMATICAL SOCIETY-SIMON STEVIN | 1999年 / 6卷 / 02期

关键词：

semiparametric models; M-estimators; efficiency bounds; single-index models; pseudo-maximum likelihood;

D O I：

10.36045/bbms/1103141030

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We consider single-index regression models, for which E (Y-i/X-i) = phi (X-i'alpha). We show the a.s. consistency and asymptotic normality for a class of semiparametric M-estimators of the parameter alpha. We investigate the efficiency of these estimators. We construct an estimator which achieves the semiparametric asymptotic efficiency bound for these models.

引用

页码：161 / 185

页数：25

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[2]

BONNEU M, 1995, SEMIPARAMETRIC ESTIM

[3]

CARROLL RJ, 1995, 9506 U CATH LOUV I S

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