MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE

doi:10.5705/ss.2013.326

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	MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE
	Zhang, Xinyu1 ; Zou, Guohua 1,2; Carroll, Raymond J.3
	2015-10-01
发表期刊	STATISTICA SINICA
ISSN	1017-0405
卷号	25 期号:4 页码:1583-1598
摘要	This paper proposes a model averaging method based on Kullback-Leibler distance under a homoscedastic normal error term. The resulting model average estimator is proved to be asymptotically optimal. When combining least squares estimators, the model average estimator is shown to have the same large sample properties as the Mallows model average (MMA) estimator developed by Hansen (2007). We show via simulations that, in terms of mean squared prediction error and mean squared parameter estimation error, the proposed model average estimator is more efficient than the MMA estimator and the estimator based on model selection using the corrected Akaike information criterion in small sample situations. A modified version of the new model average estimator is further suggested for the case of heteroscedastic random errors. The method is applied to a data set from the Hong Kong real estate market.
关键词	Akaike information Kullback-Leibler distance model averaging model selection prediction
DOI	10.5705/ss.2013.326
语种	英语
资助项目	National Natural Science Foundation of China[71101141] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355] ; Hundred Talents Program of the Chinese Academy of Sciences ; National Cancer Institute[U01-CA057030]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000365371500015
出版者	STATISTICA SINICA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/21334
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, Beijing 100190, Peoples R China 2.Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R China 3.Texas A&M Univ, Dept Stat, College Stn, TX 77843 USA
推荐引用方式 GB/T 7714	Zhang, Xinyu,Zou, Guohua,Carroll, Raymond J.. MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE[J]. STATISTICA SINICA,2015,25(4):1583-1598.
APA	Zhang, Xinyu,Zou, Guohua,&Carroll, Raymond J..(2015).MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE.STATISTICA SINICA,25(4),1583-1598.
MLA	Zhang, Xinyu,et al."MODEL AVERAGING BASED ON KULLBACK-LEIBLER DISTANCE".STATISTICA SINICA 25.4(2015):1583-1598.