Arbeitspapier
Efficient estimation in single-index regression
Semiparametric single-index regression involves an unknown finite dimensional parameter and an unknown (link) function. We consider estimation of the parameter via the pseudo maximum likelihood method. For this purpose we estimate the conditional density of the response given a candidate index and maximize the obtained likelihood. We show that this technique of adaptation yields an asymptotically efficient estimator : it has minimal variance among all estimators.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 1997,37
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Delecroix, Michel
Härdle, Wolfgang
Hristache, Marian
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
1997
- Handle
- URN
-
urn:nbn:de:kobv:11-10064199
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Delecroix, Michel
- Härdle, Wolfgang
- Hristache, Marian
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 1997
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