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Jurnal Riset Ekonomi Manajemen (REKOMEN), 2021 Investment is an interesting thing to analyze during the Corona Virus Disease (COVID-19) pandemic because at this time the economy is experiencing a decline so specifically for investors, they must consider the level of risk in their shares.
A. Anwar +2 more
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Analysis of Double Single Index Models [PDF]
Scandinavian Journal of Statistics, 2016 Abstract Motivated from problems in canonical correlation analysis, reduced rank regression and sufficient dimension reduction, we introduce a double dimension reduction model where a single index of the multivariate response is linked to the multivariate covariate through a single index of these covariates, hence the name double ...
Chen, Kun, Ma, Yanyuan
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A short note on fitting a single-index model with massive data
Statistical Theory and Related Fields, 2023 This paper studies the inference problem of index coefficient in single-index models under massive dataset. Analysis of massive dataset is challenging owing to formidable computational costs or memory requirements.
Rong Jiang, Yexun Peng
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Sharia stocks optimal portfolio analysis using single index model
JPPI (Jurnal Penelitian Pendidikan Indonesia), 2022 This study is aimed to analyze the optimal portfolio of Jakarta Islamic Index within December 2016 to November 2019 period. The research samples that were being used in this study were the stocks that are consistently included in JII during the study ...
Gatot Hendra Prakoso +1 more
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Variable selection for the single-index model [PDF]
Biometrika, 2007 We consider variable selection in the single-index model. We prove that the popular leave-m-out crossvalidation method has different behaviour in the single-index model from that in linear regression models or nonparametric regression models. A new consistent variable selection method, called separated crossvalidation, is proposed.
Kong, E., Xia, Y.
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Single Index Regression Model for Functional Quasi-Associated Times Series Data
Revstat Statistical Journal, 2023 The mixing condition is often considered to modeling the functional time series data. Alternatively, in this work we consider the problem of nonparametric estimation of the regression function in Single Functional Index Model (SFIM) under the quasia ...
Salim Bouzebda +2 more
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Estimation in monotone single‐index models [PDF]
Statistica Neerlandica, 2018 Single‐index models are popular regression models that are more flexible than linear models and still maintain more structure than purely nonparametric models. We consider the problem of estimating the regression parameters under a monotonicity constraint on the unknown link function.
Piet Groeneboom, Kim Hendrickx
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Rancangan Strategi Portofolio Optimal PT. ABC dengan Metode Single Index Model
JKBM (Jurnal Konsep Bisnis dan Manajemen), 2021 As social insurance company of the Republic of Indonesia, PT ABC (Persero) has a captive market based on the provisions of Undang-undang in Indonesia.
Ramadhan Dwi Saputra +1 more
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The Single Index Market Model in Agriculture [PDF]
Northeastern Journal of Agricultural and Resource Economics, 1988 This study illustrates the differences in empirical results due to data measurements and estimating procedures when applying the single index market model in agriculture. Gross and net return betas along with systematic and unsystematic risk proportions are estimated and found to be different.
Gempesaw, Conrado M., II +3 more
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J. Mach. Learn. Res., 2011 Let $(\bX, Y)$ be a random pair taking values in $\mathbb R^p \times \mathbb R$. In the so-called single-index model, one has $Y=f^{\star}(θ^{\star T}\bX)+\bW$, where $f^{\star}$ is an unknown univariate measurable function, $θ^{\star}$ is an unknown vector in $\mathbb R^d$, and $W$ denotes a random noise satisfying $\mathbb E[\bW|\bX]=0$.
Alquier, Pierre, Biau, Gérard
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