The linearity condition and adaptive estimation in single-index regressions
Statistics Theory
2010-01-28 v1 Statistics Theory
Abstract
We show that under a linearity condition on the distribution of the predictors, the coefficient in single-index regression can be estimated with the same efficiency as in the case when the link function is known. Thus, the linearity condition seems to substitute for knowing the exact conditional distribution of the response given the linear combinations of the predictors.
Cite
@article{arxiv.1001.4802,
title = {The linearity condition and adaptive estimation in single-index regressions},
author = {Yongwu Shao and R Dennis Cook and Sanford Weisberg},
journal= {arXiv preprint arXiv:1001.4802},
year = {2010}
}
Comments
10 pages