Advances and Applications in Statistics
Volume 6, Issue 2, Pages 249 - 259
(August 2006)
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INFERENCES ON SINGLE INDEX MODELS
Fulong Han (P. R. China), Yiqiung Lu (P. R. China) and Riquan Zhang (P. R. China)
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Abstract: The estimations on single index models have been discussed. In this paper, the inferences for link functions on the models are studied. Based on the estimates obtained by local linear method, the generalized likelihood ratio tests for the models are established. Under the null hypotheses the normalized tests follow asymptotically -distribution with the scale constants and the degrees of freedom being independent of the nuisance parameters. This is called as Wilks phenomenon. |
Keywords and phrases: local linear method, generalized likelihood ratio test, single index models, Wilks phenomenon, -distribution. |
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