Spline single-index prediction model
Abstract: For the past two decades, single-index model, a special case of projection pursuit regression, has proven to be an efficient way of coping with the high dimensional problem in nonparametric regression. In this paper, based on weakly dependent sample, we investigate the single-index predict...
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ftciteseerx:oai:CiteSeerX.psu:10.1.1.312.8718 2023-05-15T16:50:12+02:00 Spline single-index prediction model Li Wang Lijian Yang The Pennsylvania State University CiteSeerX Archives 2007 application/pdf http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.312.8718 http://arxiv.org/pdf/0704.0302v1.pdf en eng http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.312.8718 http://arxiv.org/pdf/0704.0302v1.pdf Metadata may be used without restrictions as long as the oai identifier remains attached to it. http://arxiv.org/pdf/0704.0302v1.pdf Key words and phrases B-spline geometric mixing knots nonparametric regression root-n rate text 2007 ftciteseerx 2016-01-07T22:36:44Z Abstract: For the past two decades, single-index model, a special case of projection pursuit regression, has proven to be an efficient way of coping with the high dimensional problem in nonparametric regression. In this paper, based on weakly dependent sample, we investigate the single-index prediction (SIP) model which is robust against deviation from the single-index model. The singleindex is identified by the best approximation to the multivariate prediction function of the response variable, regardless of whether the prediction function is a genuine single-index function. A polynomial spline estimator is proposed for the single-index prediction coefficients, and is shown to be root-n consistent and asymptotically normal. An iterative optimization routine is used which is sufficiently fast for the user to analyze large data of high dimension within seconds. Simulation experiments have provided strong evidence that corroborates with the asymptotic theory. Application of the proposed procedure to the rive flow data of Iceland has yielded superior out-of-sample rolling forecasts. Text Iceland Unknown |
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Key words and phrases B-spline geometric mixing knots nonparametric regression root-n rate |
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Key words and phrases B-spline geometric mixing knots nonparametric regression root-n rate Li Wang Lijian Yang Spline single-index prediction model |
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Key words and phrases B-spline geometric mixing knots nonparametric regression root-n rate |
description |
Abstract: For the past two decades, single-index model, a special case of projection pursuit regression, has proven to be an efficient way of coping with the high dimensional problem in nonparametric regression. In this paper, based on weakly dependent sample, we investigate the single-index prediction (SIP) model which is robust against deviation from the single-index model. The singleindex is identified by the best approximation to the multivariate prediction function of the response variable, regardless of whether the prediction function is a genuine single-index function. A polynomial spline estimator is proposed for the single-index prediction coefficients, and is shown to be root-n consistent and asymptotically normal. An iterative optimization routine is used which is sufficiently fast for the user to analyze large data of high dimension within seconds. Simulation experiments have provided strong evidence that corroborates with the asymptotic theory. Application of the proposed procedure to the rive flow data of Iceland has yielded superior out-of-sample rolling forecasts. |
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The Pennsylvania State University CiteSeerX Archives |
format |
Text |
author |
Li Wang Lijian Yang |
author_facet |
Li Wang Lijian Yang |
author_sort |
Li Wang |
title |
Spline single-index prediction model |
title_short |
Spline single-index prediction model |
title_full |
Spline single-index prediction model |
title_fullStr |
Spline single-index prediction model |
title_full_unstemmed |
Spline single-index prediction model |
title_sort |
spline single-index prediction model |
publishDate |
2007 |
url |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.312.8718 http://arxiv.org/pdf/0704.0302v1.pdf |
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Iceland |
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Iceland |
op_source |
http://arxiv.org/pdf/0704.0302v1.pdf |
op_relation |
http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.312.8718 http://arxiv.org/pdf/0704.0302v1.pdf |
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Metadata may be used without restrictions as long as the oai identifier remains attached to it. |
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1766040381861920768 |