Estimation for a partially linear single-index varying-coefficient model. Issue 4 (3rd April 2022)

• Record Type: Journal Article
• Authors: Zhao, Yang; Xue, Liugen; Feng, Sanying
• Is Part Of: Communications in statistics. Volume 51:Issue 4(2022)
• Page Start: 1685
• Page End: 1703
• Publication Date: 2022-04-03
• Subjects: Partial linear single-index varying-coefficient model -- Stepwise estimation procedure -- Local linear smoothing -- Asymptotic normality; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2019.1680691
• Languages: English
• ISSNs: 0361-0918

Abstract

Abstract: In this paper, we study the estimation for the partial linear single-index varying-coefficient model, which is a natural extension of the partially linear varying-coefficient model. A stepwise estimation procedure is developed to obtain asymptotic normality estimators of the index parameter vector, the coefficient parameter vector, and the coefficient function vector. The asymptotic properties of the resulting estimators are established under some conditions. A simulation study is conducted to assess the performance of the stepwise estimation procedure and the results show that our proposed procedure performs well in finite samples. Furthermore, a real data example is also used to illustrate our proposed method.