Model averaging for multivariate multiple regression models

doi:10.1080/02331888.2017.1367794

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	Model averaging for multivariate multiple regression models
	Zhu, Rong1 ; Zou, Guohua 2; Zhang, Xinyu1
	2018
发表期刊	STATISTICS
ISSN	0233-1888
卷号	52 期号:1 页码:205-227
摘要	The theories and applications of model averaging have been developed comprehensively in the past two decades. In this paper, we consider model averaging for multivariate multiple regression models. In order to make use of the correlation information of the dependent variables sufficiently, we propose a model averaging method based on Mahalanobis distance which is related to the correlation of the dependent variables. We prove the asymptotic optimality of the resulting Mahalanobis Mallows model averaging (MMMA) estimators under certain assumptions. In the simulation study, we show that the proposed MMMA estimators compare favourably with model averaging estimators based on AIC and BIC weights and the Mallows model averaging estimators from the single dependent variable regression models. We further apply our method to the real data on urbanization rate and the proportion of non-agricultural population in ethnic minority areas of China.
关键词	Asymptotic optimality Mahalanobis distance Mallows criterion model averaging multivariate multiple regression model
DOI	10.1080/02331888.2017.1367794
语种	英语
资助项目	National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11529101] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; Ministry of Science and Technology of China[2016YFB0502301] ; Academy of Mathematics and Systems Science, Chinese Academy of Sciences
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000423880700013
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/29414
专题	系统科学研究所
通讯作者	Zou, Guohua
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Rong,Zou, Guohua,Zhang, Xinyu. Model averaging for multivariate multiple regression models[J]. STATISTICS,2018,52(1):205-227.
APA	Zhu, Rong,Zou, Guohua,&Zhang, Xinyu.(2018).Model averaging for multivariate multiple regression models.STATISTICS,52(1),205-227.
MLA	Zhu, Rong,et al."Model averaging for multivariate multiple regression models".STATISTICS 52.1(2018):205-227.