A robust and efficient estimation method for single-index varying-coefficient models

Hu Yang, Chaohui Guo and Jing Lv

Statistics & Probability Letters, 2014, vol. 94, issue C, 119-127

Abstract: A new estimation procedure based on modal regression is proposed for single-index varying-coefficient models. The proposed method achieves better robustness and efficiency than that of Xue and Pang (2013). We establish the asymptotic normalities of proposed estimators and evaluate the performance of the proposed method by a numerical simulation.

Keywords: Asymptotic normality; Local linear smoothing; Modal regression; Robust estimation; Single-index varying-coefficient models (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spl.2014.07.011

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