Non-parametric Simulation Extrapolation Estimation of Single Index Model for Measurement Error Data
The estimation problem of a single-index model under the measurement error data is studied.By combining local linear smoothing method and kernel density estimation method,a model estimation method based on non-parametric simulation extrapolation is proposed.The proposed non-parametric simulation extrapolation esti-mate does not need to assume the specific distribution of the observed variables and the variance of the measure-ment error is known,so it has a wide adaptability.Under some regular conditions,the asymptotic normality of the parameter estimators given by the non-parametric simulation extrapolation method is proven.
single index modelmeasurement error datakernel density functionnon-parametric simulation extrapolation
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