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Least Squares Model Averaging Based on Generalized Cross Validation

文献类型：期刊论文

作者Li, Xin-min5; Zou, Guo-hua4; Zhang, Xin-yu2,3; Zhao, Shang-wei1
刊名ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
出版日期2021-07-01
卷号37期号:3页码:495-509
关键词asymptotic optimality frequentist model averaging generalized cross validation mallows criterion
ISSN号0168-9673
DOI10.1007/s10255-021-1024-x
英文摘要Frequentist model averaging has received much attention from econometricians and statisticians in recent years. A key problem with frequentist model average estimators is the choice of weights. This paper develops a new approach of choosing weights based on an approximation of generalized cross validation. The resultant least squares model average estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. Especially, the optimality is built under both discrete and continuous weigh sets. Compared with the existing approach based on Mallows criterion, the conditions required for the asymptotic optimality of the proposed method are more reasonable. Simulation studies and real data application show good performance of the proposed estimators.
资助项目National Key R&D Program of China[2020AAA0105200] ; Ministry of Science and Technology of China[2016YFB0502301] ; National Natural Science Foundation of China[11871294] ; National Natural Science Foundation of China[12031016] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[72042019] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[12001559] ; Academy for Multidisciplinary Studies, Capital Normal University
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000681749800005
出版者SPRINGER HEIDELBERG
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/59035]  
专题中国科学院数学与系统科学研究院
通讯作者Zhang, Xin-yu
作者单位1.Minzu Univ China, Coll Sci, Beijing 100081, Peoples R China
2.Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
4.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China
5.Qingdao Univ, Sch Math & Stat, Qingdao 266071, Peoples R China
推荐引用方式
GB/T 7714		 Li, Xin-min,Zou, Guo-hua,Zhang, Xin-yu,et al. Least Squares Model Averaging Based on Generalized Cross Validation[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2021,37(3):495-509.
APA Li, Xin-min,Zou, Guo-hua,Zhang, Xin-yu,&Zhao, Shang-wei.(2021).Least Squares Model Averaging Based on Generalized Cross Validation.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,37(3),495-509.
MLA Li, Xin-min,et al."Least Squares Model Averaging Based on Generalized Cross Validation".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 37.3(2021):495-509.

入库方式： OAI收割

来源：数学与系统科学研究院

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