Estimation of the error distribution function for partial linear single-index models

Jun Zhang, Cuizhen Niu, Tao Lu, Zhenghong Wei

Research output: Contribution to journalArticle

1 Scopus citations

Abstract

We consider the estimation of the error distribution function of partial linear single-index models. The estimation methods for the error distribution function based on the classical empirical distribution function as well as empirical likelihood method are discussed, the latter method allows for incorporation of additional information on the error distribution function into estimation. We show weak convergence of the corresponding empirical processes to Gaussian processes and compare both approaches with the asymptotic theory and by means of simulation studies.

Original languageEnglish
Pages (from-to)29-44
Number of pages16
JournalCommunications in Statistics: Simulation and Computation
Volume49
Issue number1
DOIs
StatePublished - Jan 2 2020

Keywords

  • Efficient estimator
  • Empirical distribution function
  • Empirical likelihood
  • Kernel smoothing
  • Single-index

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