Abstract:

This paper gives a solution to the problem of estimating coeffcients of index model in a time series. The kernel estimate method and the average derivative method are employed. Under the data being β-mixing depentent,the asymptotic normality of the estimator are established.

Key words: kernel estimate, averge derivative, β-mixing dependent, asymptotic normality, single index model, kernel estimate, averge derivative, β-mixing dependent, asymptotic normality