文献详情
Corrected Mallows criterion for model averaging
文献类型：期刊
通讯作者：Zou, GH (reprint author), Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China.
期刊名称：COMPUTATIONAL STATISTICS & DATA ANALYSIS影响因子和分区
年：2020
卷：144
ISSN：0167-9473
关键词：Asymptotic optimality; Consistency; Mallows criterion; Model averaging; Weight choice
所属部门：统计学院
摘要：An important problem with model averaging approach is the choice of weights. The Mallows criterion for choosing weights suggested by Hansen (2007) is the first asymptotically optimal criterion, which has been used widely. In the current paper, the authors propose a corrected Mallows model averaging (MMAc) method based on F distribution in small sample sizes. MMAc exhibits the same asymptotic optimality as Mallows model averaging (MMA) in the sense of minimizing the squared errors. The consistenc ...More
An important problem with model averaging approach is the choice of weights. The Mallows criterion for choosing weights suggested by Hansen (2007) is the first asymptotically optimal criterion, which has been used widely. In the current paper, the authors propose a corrected Mallows model averaging (MMAc) method based on F distribution in small sample sizes. MMAc exhibits the same asymptotic optimality as Mallows model averaging (MMA) in the sense of minimizing the squared errors. The consistency of the MMAc based weights tending to the optimal weights minimizing MSE is also studied. The authors derive the convergence rate of the new empirical weights. Similar property for MMA and Jackknife model averaging (JMA) by Hansen and Racine (2012) is established as well. An extensive simulation study shows that MMAc often performs better than MMA and other commonly used model averaging methods, especially for small and moderate sample size cases. The results from the real data analysis also support the proposed method. (C) 2019 Elsevier B.V. All rights reserved. ...Hide

DOI：10.1016/j.csda.2019.106902
百度学术：Corrected Mallows criterion for model averaging
语言：外文
基金：National Natural Science Foundation of ChinaNational Natural Science Foundation of China [11971323, 11529101]; Ministry of Science and Technology of ChinaMinistry of Science and Technology, China [2016YFB0502301]
作者其他论文



Corrected Mallows criterion for model averaging.Liao, Jun, Zou, Guohua,.COMPUTATIONAL STATISTICS & DATA ANALYSIS. 2020, 144.