Choice of weights in FMA estimators under general parametric models
文献类型：期刊论文
| 作者 | Zhang XinYu2; Zou GuoHua2; Liang Hua1 |
| 刊名 | SCIENCE CHINA-MATHEMATICS
 |
| 出版日期 | 2013 |
| 卷号 | 56期号:3页码:443-457 |
| 关键词 | REGRESSION SELECTION asymptotic optimality likelihood inference model averaging model selection model selection diagnostics |
| ISSN号 | 1674-7283 |
| 其他题名 | Choice of weights in FMA estimators under general parametric models |
| 英文摘要 | The choice of weights in frequentist model average estimators is an important but difficult problem. Liang et al. (2011) suggested a criterion for the choice of weight under a general parametric framework which is termed as the generalized OPT (GOPT) criterion in the present paper. However, no properties and applications of the criterion have been studied. This paper is devoted to the further investigation of the GOPT criterion. We show that how to use this criterion for comparison of some existing weights such as the smoothed AIC-based and BIC-based weights and for the choice between model averaging and model selection. Its connection to the Mallows and ordinary OPT criteria is built. The asymptotic optimality on the criterion in the case of non-random weights is also obtained. Finite sample performance of the GOPT criterion is assessed by simulations. Application to the analysis of two real data sets is presented as well. |
| 资助项目 | [NSFC] ; [National Natural Science Foundation of China] ; [Hundred Talents Program of the Chinese Academy of Sciences] ; [National Science Foundation of United States] |
| 语种 | 英语 |
| CSCD记录号 | CSCD:4790315 |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/53622]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 作者单位 | 1.University Rochester, Med Ctr, Dept Biostat & Computat Biol, Rochester, NY 14642 USA 2.中国科学院数学与系统科学研究院 3.中国科学院 |
| 推荐引用方式 GB/T 7714 | Zhang XinYu,Zou GuoHua,Liang Hua. Choice of weights in FMA estimators under general parametric models[J]. SCIENCE CHINA-MATHEMATICS,2013,56(3):443-457. |
| APA | Zhang XinYu,Zou GuoHua,&Liang Hua.(2013).Choice of weights in FMA estimators under general parametric models.SCIENCE CHINA-MATHEMATICS,56(3),443-457. |
| MLA | Zhang XinYu,et al."Choice of weights in FMA estimators under general parametric models".SCIENCE CHINA-MATHEMATICS 56.3(2013):443-457. |
入库方式： OAI收割
来源：数学与系统科学研究院
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