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Estimation of single index model with missing response at random |
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| Authors: | Yanhua Wang Junshan Shen Shuyuan He Qihua Wang |
| Institution: | 1. Beijing Institute of Technology, Beijing, China;2. School of Mathematical Sciences, Peking University, China;3. School of Mathematical Sciences, Capital Normal University, Beijing 100048, China;4. Chinese Academy of Mathematics and System Science, Beijing, China |
| Abstract: | Under missing at random, we estimate the unknown link function and the direction parameter in a single index model. The central limit theory and the convergence rate of the law of the iterated logarithm for the estimator of the direction parameter are derived, the optimal convergence rate for the estimator of the link function is obtained and simulation results support the theoretical results of the paper. |
| Keywords: | Single index model Missing at random Central limit theory Law of the iterated logarithm Unknown link function |
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