FOCUSED INFORMATION CRITERION AND MODEL AVERAGING FOR GENERALIZED ADDITIVE PARTIAL LINEAR MODELS

doi:10.1214/10-AOS832

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	FOCUSED INFORMATION CRITERION AND MODEL AVERAGING FOR GENERALIZED ADDITIVE PARTIAL LINEAR MODELS
	Zhang, Xinyu1 ; Liang, Hua 2
	2011-02-01
发表期刊	ANNALS OF STATISTICS
ISSN	0090-5364
卷号	39 期号:1 页码:174-200
摘要	We study model selection and model averaging in generalized additive partial linear models (GAPLMs). Polynomial spline is used to approximate nonparametric functions. The corresponding estimators of the linear parameters are shown to be asymptotically normal. We then develop a focused information criterion (FIC) and a frequentist model average (FMA) estimator on the basis of the quasi-likelihood principle and examine theoretical properties of the FIC and FMA. The major advantages of the proposed procedures over the existing ones are their computational expediency and theoretical reliability. Simulation experiments have provided evidence of the superiority of the proposed procedures. The approach is further applied to a real-world data example.
关键词	Additive models backfitting focus parameter generalized partially linear models marginal integration model average model selection polynomial spline shrinkage methods
DOI	10.1214/10-AOS832
语种	英语
资助项目	National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[70933003] ; NSF[DMS-08-06097]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000288183800005
出版者	INST MATHEMATICAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12280
专题	系统科学研究所
通讯作者	Zhang, Xinyu
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Syst Sci, BEIJING 100190, Peoples R China 2.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA
推荐引用方式 GB/T 7714	Zhang, Xinyu,Liang, Hua. FOCUSED INFORMATION CRITERION AND MODEL AVERAGING FOR GENERALIZED ADDITIVE PARTIAL LINEAR MODELS[J]. ANNALS OF STATISTICS,2011,39(1):174-200.
APA	Zhang, Xinyu,&Liang, Hua.(2011).FOCUSED INFORMATION CRITERION AND MODEL AVERAGING FOR GENERALIZED ADDITIVE PARTIAL LINEAR MODELS.ANNALS OF STATISTICS,39(1),174-200.
MLA	Zhang, Xinyu,et al."FOCUSED INFORMATION CRITERION AND MODEL AVERAGING FOR GENERALIZED ADDITIVE PARTIAL LINEAR MODELS".ANNALS OF STATISTICS 39.1(2011):174-200.