Estimation and variable selection for single-index models with non ignorable missing data

Yue Wang, Xiaohui Yuan and Chunjie Wang

Communications in Statistics - Theory and Methods, 2024, vol. 53, issue 14, 4945-4974

Abstract: This article investigates the estimation and variable selection procedures of single-index models when the data have non ignorable response. For estimation of the index coefficients, a new procedure based on martingale difference divergence is developed. Consistency and asymptotic normality of the proposed estimators are established. The finite sample performance of the proposed procedure is assessed through extensive simulation studies. Finally, we illustrate the proposed method through a real body fat data set.

Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:taf:lstaxx:v:53:y:2024:i:14:p:4945-4974

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DOI: 10.1080/03610926.2023.2198625

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