- Posterior Inference in Single-Index Models
- Posterior Inference in Single-Index Models
- ㆍ 저자명
- Park. Chun-Gun,Yang. Wan-Yeon,Kim. Yeong-Hwa
- ㆍ 간행물명
- 한국통계학회 논문집
- ㆍ 권/호정보
- 2004년|11권 1호|pp.161-168 (8 pages)
- ㆍ 발행정보
- 한국통계학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
A single-index model is useful in fields which employ multidimensional regression models. Many methods have been developed in parametric and nonparametric approaches. In this paper, posterior inference is considered and a wavelet series is thought of as a function approximated to a true function in the single-index model. The posterior inference needs a prior distribution for each parameter estimated. A prior distribution of each coefficient of the wavelet series is proposed as a hierarchical distribution. A direction $eta$ is assumed with a unit vector and affects estimate of the true function. Because of the constraint of the direction, a transformation, a spherical polar coordinate $ heta$, of the direction is required. Since the posterior distribution of the direction is unknown, we apply a Metropolis-Hastings algorithm to generate random samples of the direction. Through a Monte Carlo simulation we investigate estimates of the true function and the direction.