A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model

doi:10.1080/01621459.2018.1456936

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	A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model
	Zhu, Rong1,2 ; Wan, Alan T. K.3; Zhang, Xinyu1 ; Zou, Guohua 4
	2019-04-03
发表期刊	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN	0162-1459
卷号	114 期号:526 页码:882-892
摘要	In the last decade, significant theoretical advances have been made in the area of frequentist model averaging (FMA); however, the majority of this work has emphasized parametric model setups. This article considers FMA for the semiparametric varying-coefficient partially linear model (VCPLM), which has gained prominence to become an extensively used modeling tool in recent years. Within this context, we develop a Mallows-type criterion for assigning model weights and prove its asymptotic optimality. A simulation study and a real data analysis demonstrate that the FMA estimator that arises from this criterion is vastly preferred to information criterion score-based model selection and averaging estimators. Our analysis is complicated by the fact that the VCPLM is subject to uncertainty arising not only from the choice of covariates, but also whether the covariate should enter the parametric or nonparametric parts of the model. Supplementary materials for this article are available online.
关键词	Asymptotic optimality Heteroscedasticity Mallows criterion Model averaging Varying-coefficient partially linear model
DOI	10.1080/01621459.2018.1456936
语种	英语
资助项目	City University of Hong Kong[7004786] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11529101] ; Ministry of Science and Technology of China[2016YFB0502301]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000472559400031
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/34950
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.Univ Chinese Acad Sci, Beijing, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 4.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Rong,Wan, Alan T. K.,Zhang, Xinyu,et al. A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2019,114(526):882-892.
APA	Zhu, Rong,Wan, Alan T. K.,Zhang, Xinyu,&Zou, Guohua.(2019).A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,114(526),882-892.
MLA	Zhu, Rong,et al."A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 114.526(2019):882-892.