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Article: On Single-Index Coefficient Regression Models

TitleOn Single-Index Coefficient Regression Models
Authors
KeywordsKernel smoothing
Nonparametric time series
Single-index model
Strongly mixing
Varying-coefficient model
Issue Date1999
PublisherAmerican Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jasa/index.cfm?fuseaction=main
Citation
Journal Of The American Statistical Association, 1999, v. 94 n. 448, p. 1275-1285 How to Cite?
AbstractIn this article we investigate a class of single-index coefficient regression models under dependence. This includes many existing models, such as the smooth transition threshold autoregressive (STAR) model of Chan and Tong, the functional-coefficient autoregressive (FAR) model of Chen and Tsay, and the single-index model of Ichimura. Compared to the varying-coefficient model of Hastie and Tibshirani, our model can avoid the curse of dimensionality in multivariate nonparametric estimations. Another advantage of this model is that a threshold variable is chosen automatically. An estimation method is proposed, and the corresponding estimators are shown to be consistent and asymptotically normal. Some simulations and applications are also reported.
Persistent Identifierhttp://hdl.handle.net/10722/83009
ISSN
2015 Impact Factor: 1.725
2015 SCImago Journal Rankings: 3.447
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorXia, Yen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:35:54Z-
dc.date.available2010-09-06T08:35:54Z-
dc.date.issued1999en_HK
dc.identifier.citationJournal Of The American Statistical Association, 1999, v. 94 n. 448, p. 1275-1285en_HK
dc.identifier.issn0162-1459en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83009-
dc.description.abstractIn this article we investigate a class of single-index coefficient regression models under dependence. This includes many existing models, such as the smooth transition threshold autoregressive (STAR) model of Chan and Tong, the functional-coefficient autoregressive (FAR) model of Chen and Tsay, and the single-index model of Ichimura. Compared to the varying-coefficient model of Hastie and Tibshirani, our model can avoid the curse of dimensionality in multivariate nonparametric estimations. Another advantage of this model is that a threshold variable is chosen automatically. An estimation method is proposed, and the corresponding estimators are shown to be consistent and asymptotically normal. Some simulations and applications are also reported.en_HK
dc.languageengen_HK
dc.publisherAmerican Statistical Association. The Journal's web site is located at http://www.amstat.org/publications/jasa/index.cfm?fuseaction=mainen_HK
dc.relation.ispartofJournal of the American Statistical Associationen_HK
dc.subjectKernel smoothingen_HK
dc.subjectNonparametric time seriesen_HK
dc.subjectSingle-index modelen_HK
dc.subjectStrongly mixingen_HK
dc.subjectVarying-coefficient modelen_HK
dc.titleOn Single-Index Coefficient Regression Modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0162-1459&volume=94&issue=448&spage=1275&epage=1285&date=1999&atitle=On+single-index+coefficient+regression+modelsen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.2307/2669941-
dc.identifier.scopuseid_2-s2.0-0442293877en_HK
dc.identifier.hkuros47542en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0442293877&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume94en_HK
dc.identifier.issue448en_HK
dc.identifier.spage1275en_HK
dc.identifier.epage1285en_HK
dc.identifier.isiWOS:000083879800029-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridXia, Y=7403027730en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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