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Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models

文献类型：期刊论文

作者Zhang, Xinyu1,2; Yu, Dalei3; Zou, Guohua1,2; Liang, Hua4
刊名JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
出版日期2016-12-01
卷号111期号:516页码:1775-1790
关键词Asymptotic optimality Kullback-Leibler loss Misspecification Penalized generalized weighted least squares (PGWLS) Prediction accuracy
ISSN号0162-1459
DOI10.1080/01621459.2015.1115762
英文摘要Considering model averaging estimation in generalized linear models, we propose a weight choice criterion based on the Kullback-Leibler (KL) loss with a penalty term. This criterion is different from that for continuous observations in principle, but reduces to the Mallows criterion in the situation. We prove that the corresponding model averaging estimator is asymptotically optimal under certain assumptions. We further extend our concern to the generalized linear mixed-effects model framework and establish associated theory. Numerical experiments illustrate that the proposed method is promising.
资助项目National Natural Science Foundation of China (NNSFC)[71522004] ; National Natural Science Foundation of China (NNSFC)[11471324] ; National Natural Science Foundation of China (NNSFC)[11271355] ; NNSFC[11301463] ; NNSFC[11331011] ; Beijing High-level Talents Program ; NSF by National Natural Science Foundation of China[DMS-1440121] ; NSF by National Natural Science Foundation of China[DMS-1418042] ; NSF by National Natural Science Foundation of China[11529101]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000391900700044
出版者AMER STATISTICAL ASSOC
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/24583]  
专题系统科学研究所
通讯作者Liang, Hua
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Sch Math Sci, Beijing, Peoples R China
3.Yunnan Univ Finance & Econ, Stat & Math Coll, Kunming, Peoples R China
4.Geoge Washington Univ, Dept Stat, Washington, DC USA
推荐引用方式
GB/T 7714		 Zhang, Xinyu,Yu, Dalei,Zou, Guohua,et al. Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2016,111(516):1775-1790.
APA Zhang, Xinyu,Yu, Dalei,Zou, Guohua,&Liang, Hua.(2016).Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,111(516),1775-1790.
MLA Zhang, Xinyu,et al."Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 111.516(2016):1775-1790.

入库方式： OAI收割

来源：数学与系统科学研究院

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