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期刊论文
Statistical inference for the index parameter in single-index models☆
Journal of Multivariate Analysis 101 (2010) 1026-1041,-0001,():
In this paper, we are concerned with statistical inference for the index parameter α0 in the single-index model Y=g (αT0X) + ε. Based on the estimates obtained by the local linear method, we extend the generalized likelihood ratio test to the single-index model. We investigate the asymptotic behaviour of the proposed test and demonstrate that its limiting null distribution follows a 2-distribution, with the scale constant and the number of degrees of freedom being independent of nuisance parameters or functions, which is called the Wilks phenomenon. A simulated example is used to illustrate the performance of the testing approach.
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