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Frequentist model averaging estimation: a review

文献类型：期刊论文

作者Wang, Haiying1,2; Zhang, Xinyu1,2; Zou, Guohua1,2
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2009-12-01
卷号22期号:4页码:732-748
关键词Adaptive regression asymptotic theory frequentist model averaging model selection optimality
ISSN号1009-6124
DOI10.1007/s11424-009-9198-y
英文摘要In applications, the traditional estimation procedure generally begins with model selection. Once a specific model is selected, subsequent estimation is conducted under the selected model without consideration of the uncertainty from the selection process. This often leads to the underreporting of variability and too optimistic confidence sets. Model averaging estimation is an alternative to this procedure, which incorporates model uncertainty into the estimation process. In recent years, there has been a rising interest in model averaging from the frequentist perspective, and some important progresses have been made. In this paper, the theory and methods on frequentist model averaging estimation are surveyed. Some future research topics are also discussed.
资助项目National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[70221001]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000272037900014
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/7516]  
专题系统科学研究所
通讯作者Zou, Guohua
作者单位1.Academy of Mathemat and Systems Science, Chinese Academy of Sciences, Beijing 100190, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Wang, Haiying,Zhang, Xinyu,Zou, Guohua. Frequentist model averaging estimation: a review[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2009,22(4):732-748.
APA Wang, Haiying,Zhang, Xinyu,&Zou, Guohua.(2009).Frequentist model averaging estimation: a review.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22(4),732-748.
MLA Wang, Haiying,et al."Frequentist model averaging estimation: a review".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 22.4(2009):732-748.

入库方式： OAI收割

来源：数学与系统科学研究院

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