Abstract:Varying index coefficient models (VICMs) proposed by Ma and Song (J Am Stat Assoc, 2014. ) are a new class of semiparametric models, which encompass most of the existing semiparametric models. So far, only the profile least squares method and local linear fitting were developed for the VICM, which are very sensitive to the outliers and will lose efficiency for the heavy tailed error distributions. In this paper, we propose an efficient and robust estimation procedure for the VICM based on modal regression whic… Show more
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