Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
文献类型：期刊论文
| 作者 | Magnus, Jan R.2; Wan, Alan T. K.1; Zhang, Xinyu3
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| 刊名 | COMPUTATIONAL STATISTICS & DATA ANALYSIS
 |
| 出版日期 | 2011-03-01 |
| 卷号 | 55期号:3页码:1331-1341 |
| 关键词 | Model averaging Bayesian analysis Monte Carlo Housing demand |
| ISSN号 | 0167-9473 |
| DOI | 10.1016/j.csda.2010.09.023 |
| 英文摘要 | The recently proposed weighted average least squares (WALS) estimator is a Bayesian combination of frequentist estimators It has been shown that the WALS estimator possesses major advantages over standard Bayesian model averaging (BMA) estimators the WALS estimator has bounded risk allows a coherent treatment of ignorance and its computational effort is negligible However the sampling properties of the WALS estimator as compared to BMA estimators are heretofore unexamined The WALS theory is further extended to allow for nonspherical disturbances and the estimator is illustrated with data from the Hong Kong real estate market Monte Carlo evidence shows that the WALS estimator performs significantly better than standard BMA and pretest alternatives (C) 2010 Elsevier B V All rights reserved |
| 资助项目 | Hong Kong Research Grants Council[City-U 102709] |
| WOS研究方向 | Computer Science ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000285663400013 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11681]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Tilburg Univ, Dept Econometr & Operat Res, Tilburg, Netherlands 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Magnus, Jan R.,Wan, Alan T. K.,Zhang, Xinyu. Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2011,55(3):1331-1341. |
| APA | Magnus, Jan R.,Wan, Alan T. K.,&Zhang, Xinyu.(2011).Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market.COMPUTATIONAL STATISTICS & DATA ANALYSIS,55(3),1331-1341. |
| MLA | Magnus, Jan R.,et al."Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market".COMPUTATIONAL STATISTICS & DATA ANALYSIS 55.3(2011):1331-1341. |
入库方式： OAI收割
来源：数学与系统科学研究院
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