A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model
文献类型：期刊论文
| 作者 | Zhu, Rong2,3 ; Wan, Alan T. K.1; Zhang, Xinyu2; Zou, Guohua4
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| 刊名 | JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
 |
| 出版日期 | 2019-04-03 |
| 卷号 | 114期号:526页码:882-892 |
| 关键词 | Asymptotic optimality Heteroscedasticity Mallows criterion Model averaging Varying-coefficient partially linear model |
| ISSN号 | 0162-1459 |
| DOI | 10.1080/01621459.2018.1456936 |
| 英文摘要 | In the last decade, significant theoretical advances have been made in the area of frequentist model averaging (FMA); however, the majority of this work has emphasized parametric model setups. This article considers FMA for the semiparametric varying-coefficient partially linear model (VCPLM), which has gained prominence to become an extensively used modeling tool in recent years. Within this context, we develop a Mallows-type criterion for assigning model weights and prove its asymptotic optimality. A simulation study and a real data analysis demonstrate that the FMA estimator that arises from this criterion is vastly preferred to information criterion score-based model selection and averaging estimators. Our analysis is complicated by the fact that the VCPLM is subject to uncertainty arising not only from the choice of covariates, but also whether the covariate should enter the parametric or nonparametric parts of the model. Supplementary materials for this article are available online. |
| 资助项目 | City University of Hong Kong[7004786] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11529101] ; Ministry of Science and Technology of China[2016YFB0502301] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000472559400031 |
| 出版者 | AMER STATISTICAL ASSOC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34949]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhang, Xinyu |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Chinese Acad Sci, Beijing, Peoples R China 4.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, Rong,Wan, Alan T. K.,Zhang, Xinyu,et al. A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2019,114(526):882-892. |
| APA | Zhu, Rong,Wan, Alan T. K.,Zhang, Xinyu,&Zou, Guohua.(2019).A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,114(526),882-892. |
| MLA | Zhu, Rong,et al."A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 114.526(2019):882-892. |
入库方式： OAI收割
来源：数学与系统科学研究院
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