Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models

doi:10.1080/01621459.2015.1115762

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	Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models
	Zhang, Xinyu1,2 ; Yu, Dalei 3; Zou, Guohua 1,2; Liang, Hua 4
	2016-12-01
发表期刊	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN	0162-1459
卷号	111 期号:516 页码:1775-1790
摘要	Considering model averaging estimation in generalized linear models, we propose a weight choice criterion based on the Kullback-Leibler (KL) loss with a penalty term. This criterion is different from that for continuous observations in principle, but reduces to the Mallows criterion in the situation. We prove that the corresponding model averaging estimator is asymptotically optimal under certain assumptions. We further extend our concern to the generalized linear mixed-effects model framework and establish associated theory. Numerical experiments illustrate that the proposed method is promising.
关键词	Asymptotic optimality Kullback-Leibler loss Misspecification Penalized generalized weighted least squares (PGWLS) Prediction accuracy
DOI	10.1080/01621459.2015.1115762
语种	英语
资助项目	National Natural Science Foundation of China (NNSFC)[71522004] ; National Natural Science Foundation of China (NNSFC)[11471324] ; National Natural Science Foundation of China (NNSFC)[11271355] ; NNSFC[11301463] ; NNSFC[11331011] ; Beijing High-level Talents Program ; NSF by National Natural Science Foundation of China[DMS-1440121] ; NSF by National Natural Science Foundation of China[DMS-1418042] ; NSF by National Natural Science Foundation of China[11529101]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000391900700044
出版者	AMER STATISTICAL ASSOC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/24584
专题	系统科学研究所
通讯作者	Liang, Hua
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Sch Math Sci, Beijing, Peoples R China 3.Yunnan Univ Finance & Econ, Stat & Math Coll, Kunming, Peoples R China 4.Geoge Washington Univ, Dept Stat, Washington, DC USA
推荐引用方式 GB/T 7714	Zhang, Xinyu,Yu, Dalei,Zou, Guohua,et al. Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2016,111(516):1775-1790.
APA	Zhang, Xinyu,Yu, Dalei,Zou, Guohua,&Liang, Hua.(2016).Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,111(516),1775-1790.
MLA	Zhang, Xinyu,et al."Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 111.516(2016):1775-1790.