Single-index model

Known as: Singleindex models, Single index model, Single indexer 
The single-index model (SIM) is a simple asset pricing model to measure both the risk and the return of a stock, commonly used in the finance… (More)
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2 relations
Capital asset pricing modelTreynor–Black model

Papers overview

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2015
2015
High dimensional single index models
This paper addresses the problem of fitting nonlinear regression models in high-dimensional situations, where the number of… (More)
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2015
2015
Matrix Completion Under Monotonic Single Index Models
Most recent results in matrix completion assume that the matrix under consideration is low-rank or that the columns are in a… (More)
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2013
2013
Sparse single-index model
Let (X,Y ) be a random pair taking values in R ×R. In the so-called single-index model, one has Y = f ⋆(θ⋆T X)+W , where f ⋆ is… (More)
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2008
2008
Varying-coefficient single-index model
In this paper, the varying-coefficient single-index model (VCSIM) is proposed. It can be seen as a generalization of the… (More)
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2005
2005
Nonparametric Checks for Single-index Models
In this paper we study goodness-of-fit testing of single-index models. The large sample behavior of certain score-type test… (More)
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2004
2004
Isotonic single-index model for high-dimensional database marketing
While database marketers collect vast amounts of customer transaction data, its utilization to improve marketing decisions… (More)
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Highly Cited
2001
Highly Cited
2001
DIRECT ESTIMATION OF THE INDEX COEFFICIENT IN A SINGLE-INDEX MODEL
Single-index modeling is widely applied in, for example, econometric studies as a compromise between too restrictive parametric… (More)
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2000
2000
Single-index model selections
We derive a new model selection criterion for single-index models,  C , by minimising the expected Kullback–Leibler distance… (More)
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Highly Cited
1998
Highly Cited
1998
Generalized Partially Linear Single-Index Models
 
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Highly Cited
1994
Highly Cited
1994
DIRECT SEMIPARAMETRIC ESTIMATION OF SINGLE-INDEX MODELS WITH DISCRETE COVARIATES
Ha . rdle and Stoker (1989), Powell, et al. (1989), and Stoker (1991) have developed average derivative estimators of the… (More)
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