中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
首页 机构 成果 学者
  
  1. CAS IR Grid
  2. 数学与系统科学研究院
  3. 中国科学院数学与系统科学研究院
  4. 系统科学研究所
Model averaging based on leave-subject-out cross-validation

文献类型：期刊论文

作者Gao, Yan1,2; Zhang, Xinyu2,3; Wang, Shouyang2; Zou, Guohua2,4
刊名JOURNAL OF ECONOMETRICS
出版日期2016-05-01
卷号192期号:1页码:139-151
关键词Asymptotic optimality Leave-subject-out cross-validation Longitudinal data Model averaging Time series
ISSN号0304-4076
DOI10.1016/j.jeconom.2015.07.006
英文摘要This paper develops a frequentist model averaging method based on the leave-subject-out cross validation. This method is applicable not only to averaging longitudinal data models, but also to averaging time series models which can have heteroscedastic errors. The resulting model averaging estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. Both simulation study and empirical example show the superiority of the proposed estimators over their competitors. (C) 2015 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355] ; AMSS, CAS ; Beijing High-level Talents Program
WOS研究方向Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种英语
WOS记录号WOS:000372384900009
出版者ELSEVIER SCIENCE SA
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/22358]  
专题系统科学研究所
通讯作者Zhang, Xinyu
作者单位1.Minzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R China
4.Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R China
推荐引用方式
GB/T 7714		 Gao, Yan,Zhang, Xinyu,Wang, Shouyang,et al. Model averaging based on leave-subject-out cross-validation[J]. JOURNAL OF ECONOMETRICS,2016,192(1):139-151.
APA Gao, Yan,Zhang, Xinyu,Wang, Shouyang,&Zou, Guohua.(2016).Model averaging based on leave-subject-out cross-validation.JOURNAL OF ECONOMETRICS,192(1),139-151.
MLA Gao, Yan,et al."Model averaging based on leave-subject-out cross-validation".JOURNAL OF ECONOMETRICS 192.1(2016):139-151.

入库方式： OAI收割

来源：数学与系统科学研究院

浏览0
下载0
收藏0
其他版本

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。