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Frequentist model averaging for threshold models

文献类型：期刊论文

作者Gao, Yan1,2; Zhang, Xinyu2; Wang, Shouyang2; Chong, Terence Tai-leung3; Zou, Guohua4
刊名ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
出版日期2019-04-01
卷号71期号:2页码:275-306
关键词Asymptotic optimality Generalized cross-validation Model averaging Threshold model
ISSN号0020-3157
DOI10.1007/s10463-017-0642-9
英文摘要This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. In particular, when combining estimators from threshold autoregressive models, this approach is also proved to be asymptotically optimal. Simulation results show that for the situation where the existing model averaging approach is not applicable, our proposed model averaging approach has a good performance; for the other situations, our proposed model averaging approach performs marginally better than other commonly used model selection and model averaging methods. An empirical application of our approach on the US unemployment data is given.
资助项目National Natural Science Foundation of China[11529101] ; National Natural Science Foundation of China[11331011] ; Ministry of Education of China[17YJC910011] ; Ministry of Science and Technology of China[2016YFB0502301]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000459484800002
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/32647]  
专题系统科学研究所
通讯作者Zhang, Xinyu
作者单位1.Minzu Univ China, Dept Stat, Coll Sci, Beijing 100081, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
3.Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China
4.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China
推荐引用方式
GB/T 7714		 Gao, Yan,Zhang, Xinyu,Wang, Shouyang,et al. Frequentist model averaging for threshold models[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2019,71(2):275-306.
APA Gao, Yan,Zhang, Xinyu,Wang, Shouyang,Chong, Terence Tai-leung,&Zou, Guohua.(2019).Frequentist model averaging for threshold models.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,71(2),275-306.
MLA Gao, Yan,et al."Frequentist model averaging for threshold models".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS 71.2(2019):275-306.

入库方式： OAI收割

来源：数学与系统科学研究院

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