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MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE

文献类型：期刊论文

作者Zhang, Xinyu1; Zou, Guohua1,2; Carroll, Raymond J.3
刊名STATISTICA SINICA
出版日期2015-10-01
卷号25期号:4页码:1583-1598
关键词Akaike information Kullback-Leibler distance model averaging model selection prediction
ISSN号1017-0405
DOI10.5705/ss.2013.326
英文摘要This paper proposes a model averaging method based on Kullback-Leibler distance under a homoscedastic normal error term. The resulting model average estimator is proved to be asymptotically optimal. When combining least squares estimators, the model average estimator is shown to have the same large sample properties as the Mallows model average (MMA) estimator developed by Hansen (2007). We show via simulations that, in terms of mean squared prediction error and mean squared parameter estimation error, the proposed model average estimator is more efficient than the MMA estimator and the estimator based on model selection using the corrected Akaike information criterion in small sample situations. A modified version of the new model average estimator is further suggested for the case of heteroscedastic random errors. The method is applied to a data set from the Hong Kong real estate market.
资助项目National Natural Science Foundation of China[71101141] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355] ; Hundred Talents Program of the Chinese Academy of Sciences ; National Cancer Institute[U01-CA057030]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000365371500015
出版者STATISTICA SINICA
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/21333]  
专题系统科学研究所
通讯作者Zhang, Xinyu
作者单位1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
2.Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R China
3.Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA
推荐引用方式
GB/T 7714		 Zhang, Xinyu,Zou, Guohua,Carroll, Raymond J.. MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE[J]. STATISTICA SINICA,2015,25(4):1583-1598.
APA Zhang, Xinyu,Zou, Guohua,&Carroll, Raymond J..(2015).MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE.STATISTICA SINICA,25(4),1583-1598.
MLA Zhang, Xinyu,et al."MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE".STATISTICA SINICA 25.4(2015):1583-1598.

入库方式： OAI收割

来源：数学与系统科学研究院

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