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New efficient estimation and variable selection in models with single-index structure.

Authors :
Wang, Kangning
Lin, Lu
Source :
Statistics & Probability Letters. Jun2014, Vol. 89, p58-64. 7p.
Publication Year :
2014

Abstract

Abstract: We propose a new efficient root- consistent estimate for the direction of the index parameter vector in a class of models with single-index structure. To select the important predictors, we suggest using the adaptive LASSO and establish the oracle property. Simulation results also confirm the theoretical findings. [Copyright &y& Elsevier]

Details

Language :
English
ISSN :
01677152
Volume :
89
Database :
Academic Search Index
Journal :
Statistics & Probability Letters
Publication Type :
Periodical
Accession number :
95502970
Full Text :
https://doi.org/10.1016/j.spl.2014.02.019