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Model Averaging Estimation for Varying-Coefficient Single-Index Models

文献类型：期刊论文

作者Liu, Yue1; Zou, Jiahui2,3; Zhao, Shangwei4; Yang, Qinglong5
刊名JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
出版日期2021-04-05
页码19
关键词Asymptotic optimality kernel-local smoothing method Mallows-type criterion model averaging varying-coefficient single-index model
ISSN号1009-6124
DOI10.1007/s11424-021-0158-5
英文摘要The varying-coefficient single-index model (VCSIM) is widely used in economics, statistics and biology. A model averaging method for VCSIM based on a Mallows-type criterion is proposed to improve prodictive capacity, which allows the number of candidate models to diverge with sample size. Under model misspecification, the asymptotic optimality is derived in the sense of achieving the lowest possible squared errors. The authors compare the proposed model averaging method with several other classical model selection methods by simulations and the corresponding results show that the model averaging estimation has a outstanding performance. The authors also apply the method to a real dataset.
资助项目National Nature Science Foundation of China[12001559] ; National Nature Science Foundation of China[11971324] ; Ministry of Education of Humanities and Social Science project[19YJC910008]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000636951200001
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/58435]  
专题中国科学院数学与系统科学研究院
通讯作者Zou, Jiahui
作者单位1.Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China
2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
4.Minzu Univ China, Sch Sci, Beijing 100081, Peoples R China
5.Zhongnan Univ Econ & Law, Sch Math & Stat, Wuhan 430073, Peoples R China
推荐引用方式
GB/T 7714		 Liu, Yue,Zou, Jiahui,Zhao, Shangwei,et al. Model Averaging Estimation for Varying-Coefficient Single-Index Models[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:19.
APA Liu, Yue,Zou, Jiahui,Zhao, Shangwei,&Yang, Qinglong.(2021).Model Averaging Estimation for Varying-Coefficient Single-Index Models.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,19.
MLA Liu, Yue,et al."Model Averaging Estimation for Varying-Coefficient Single-Index Models".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):19.

入库方式： OAI收割

来源：数学与系统科学研究院

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