General local rank estimation for single-index varying coefficient models
| Autor: | Ash Abebe, Huybrechts F. Bindele, Wei Sun, Hannah E. Correia |
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| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Rank (linear algebra) Applied Mathematics 05 social sciences Estimator Asymptotic distribution Regression analysis 01 natural sciences Least squares Regression 010104 statistics & probability Consistency (statistics) Robustness (computer science) 0502 economics and business Applied mathematics 0101 mathematics Statistics Probability and Uncertainty 050205 econometrics Mathematics |
| Zdroj: | Journal of Statistical Planning and Inference. 202:57-79 |
| ISSN: | 0378-3758 |
| Popis: | In this paper, we consider rank-based estimation of the index coefficient and the functional regression coefficients for the single-index varying coefficient regression model. The consistency and asymptotic normality of the proposed estimators are established under mild assumptions. An extensive Monte-Carlo simulation study demonstrates the robustness and efficiency of the proposed estimators compared to the least squares estimators. An application in ecology is provided and shows that the rank-based regression procedure effectively provides more accurate estimates compared to its least squares counterpart. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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