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