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Frequentist model averaging under inequality constraints

文献类型：期刊论文

作者Zhu, Rong1; Zhang, Xinyu2,3; Wand, Alan T. K.4; Zou, Guohua5
刊名JOURNAL OF STATISTICAL PLANNING AND INFERENCE
出版日期2022-12-01
卷号221页码:100-113
关键词Cross validation Inequality constraints Model averaging Order-restricted information criterion
ISSN号0378-3758
DOI10.1016/j.jspi.2022.03.002
英文摘要Motivated by the inability of the Akaike information criterion to distinguish between statistical models with inequality constraints on parameters, a series of papers have considered alternative model selection criteria for models under inequality constraints. Among the criteria proposed, the order-restricted information criterion and its generalised version have received the most attention. This paper considers the alternative approach of model averaging, where estimates are obtained based not on one single linear model, but a weighted ensemble of linear models each subject to a distinct set of linear inequality constraints. We develop a J-fold cross validation criterion for choosing model weights that reflect the support of the models by the data, and prove that the resultant model average estimator has an optimal asymptotic property. We further prove that for the special case of a finite number of regressors, the sum of the weights obtained by the proposed method for models with the correct inequality constraints converges to one in probability. In our limited simulation study and real data analysis, it is observed that the proposed model average estimator frequently outperforms the estimator that arises from the generalised order-restricted information-based model selection criterion in terms of average MSE and median MSE. (C) 2022 Elsevier B.V. All rights reserved.
资助项目National Natural Science Foundation of China (NNSFC)[71925007] ; National Natural Science Foundation of China (NNSFC)[72091212] ; National Natural Science Foundation of China (NNSFC)[71988101] ; National Natural Science Foundation of China (NNSFC)[11688101] ; National Natural Science Foundation of China (NNSFC)[71973116] ; National Natural Science Foundation of China (NNSFC)[11971323] ; National Natural Science Foundation of China (NNSFC)[12031016] ; CAS Project for Young Scientists in Basic Research[YSBR-008] ; Academy for Multidisciplinary Studies, Capital Normal University ; General Research Fund from the Hong Kong Research Grants Council[CityU 11500419] ; City University of Hong Kong[7004786]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000795905400003
出版者ELSEVIER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/61345]  
专题中国科学院数学与系统科学研究院
通讯作者Zhang, Xinyu
作者单位1.Univ Cambridge, Sch Clin Med, MRC Biostat Unit, Cambridge CB2 0SR, England
2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
3.Beijing Acad Artificial Intelligence, Beijing, Peoples R China
4.City Univ Hong Kong, Dept Management Sci & Sch Data Sci, Kowloon, Hong Kong, Peoples R China
5.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式
GB/T 7714		 Zhu, Rong,Zhang, Xinyu,Wand, Alan T. K.,et al. Frequentist model averaging under inequality constraints[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2022,221:100-113.
APA Zhu, Rong,Zhang, Xinyu,Wand, Alan T. K.,&Zou, Guohua.(2022).Frequentist model averaging under inequality constraints.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,221,100-113.
MLA Zhu, Rong,et al."Frequentist model averaging under inequality constraints".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 221(2022):100-113.

入库方式： OAI收割

来源：数学与系统科学研究院

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