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On an asymptotically more efficient estimation of the single-index model. (English) Zbl 1190.62082

Summary: We revisit the single-index model with heteroscedastic errors, and recommend an estimating equation method in terms of transferring restricted least squares to unrestricted least squares: the estimator of the index parameter is asymptotically more efficient than existing estimators in the literature in the sense that it is of a smaller limiting variance.

MSC:

62G08 Nonparametric regression and quantile regression
62G20 Asymptotic properties of nonparametric inference
62J05 Linear regression; mixed models
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