single index model

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josef...@gmail.com

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Jan 7, 2013, 6:02:20 PM1/7/13

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(just showing a plot, blogging has to wait)

y = g(x * b) + e

proof by plotting, maybe "it works"

Josef

ex_singleindex.png

Ralf Gommers

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Jan 9, 2013, 3:58:25 PM1/9/13

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Little wiggles at the boundaries of the support look odd, other than that it looks pretty good.

Ralf

josef...@gmail.com

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Jan 9, 2013, 4:16:55 PM1/9/13

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It might be mainly because there are fewer observations at the ends.

(adaptive bandwidth again ?)

Josef

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Ralf Gommers

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Jan 10, 2013, 2:27:43 AM1/10/13

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Possibly. IIRC this is also a known issue occurring with local constant regression; local linear should be better in that respect. No time to look up now what SingleIndex is using, so this comment may be irrelevant.

Ralf

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