Model averaging for multivariate multiple regression models
文献类型：期刊论文
| 作者 | Zhu, Rong1 ; Zou, Guohua2; Zhang, Xinyu1
|
| 刊名 | STATISTICS
 |
| 出版日期 | 2018 |
| 卷号 | 52期号:1页码:205-227 |
| 关键词 | Asymptotic optimality Mahalanobis distance Mallows criterion model averaging multivariate multiple regression model |
| ISSN号 | 0233-1888 |
| DOI | 10.1080/02331888.2017.1367794 |
| 英文摘要 | The theories and applications of model averaging have been developed comprehensively in the past two decades. In this paper, we consider model averaging for multivariate multiple regression models. In order to make use of the correlation information of the dependent variables sufficiently, we propose a model averaging method based on Mahalanobis distance which is related to the correlation of the dependent variables. We prove the asymptotic optimality of the resulting Mahalanobis Mallows model averaging (MMMA) estimators under certain assumptions. In the simulation study, we show that the proposed MMMA estimators compare favourably with model averaging estimators based on AIC and BIC weights and the Mallows model averaging estimators from the single dependent variable regression models. We further apply our method to the real data on urbanization rate and the proportion of non-agricultural population in ethnic minority areas of China. |
| 资助项目 | National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11529101] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; Ministry of Science and Technology of China[2016YFB0502301] ; Academy of Mathematics and Systems Science, Chinese Academy of Sciences |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000423880700013 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/29413]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zou, Guohua |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, Rong,Zou, Guohua,Zhang, Xinyu. Model averaging for multivariate multiple regression models[J]. STATISTICS,2018,52(1):205-227. |
| APA | Zhu, Rong,Zou, Guohua,&Zhang, Xinyu.(2018).Model averaging for multivariate multiple regression models.STATISTICS,52(1),205-227. |
| MLA | Zhu, Rong,et al."Model averaging for multivariate multiple regression models".STATISTICS 52.1(2018):205-227. |
入库方式： OAI收割
来源：数学与系统科学研究院
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