most citedOptimal model averaging for single-index models with divergent dimensions

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stat.ME2021★ 2 cited

Optimal model averaging for single-index models with divergent dimensions

Jiahui Zou, Wendun Wang, Xinyu Zhang +1

This paper offers a new approach to address the model uncertainty in (potentially) divergent-dimensional single-index models (SIMs). We propose a model-averaging estimator based on…