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Abstract:
The empirical likelihood method is especially useful for constructing confidence intervals or regions of the parameter of interest. This method has been extensively applied to linear regression and generalized linear regression models. In this paper, the empirical likelihood method for single-index regression models is studied. An estimated empirical log-likelihood approach to construct the confidence region of the regression parameter is developed. An adjusted empirical log-likelihood ratio is proved to be asymptotically standard chi-square. A simulation study indicates that compared with a normal approximation-based approach, the proposed method described herein works better in terms of coverage probabilities and areas (lengths) of confidence regions (intervals). (c) 2005 Elsevier Inc. All rights reserved.
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JOURNAL OF MULTIVARIATE ANALYSIS
ISSN: 0047-259X
Year: 2006
Issue: 6
Volume: 97
Page: 1295-1312
1 . 6 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
JCR Journal Grade:3
Cited Count:
WoS CC Cited Count: 86
SCOPUS Cited Count: 84
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 1
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