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A relative error estimation approach for multiplicative single index model. (English) Zbl 1380.93249

Summary: As an alternative to absolute error methods, such as the least square and least absolute deviation estimations, a product relative error estimation is proposed for a multiplicative single index regression model. Regression coefficients in the model are estimated via a two-stage procedure and their statistical properties such as consistency and normality are studied. Numerical studies including simulation and a body fat example show that the proposed method performs well.

MSC:

93E10 Estimation and detection in stochastic control theory
62F03 Parametric hypothesis testing

Software:

SemiPar
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Full Text: DOI arXiv

References:

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