choiceofweightsinfmaestimatorsundergeneralparametricmodels

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	choiceofweightsinfmaestimatorsundergeneralparametricmodels
	Zhang Xinyu1 ; Zou Guohua 1; Liang Hua 2
	2013
发表期刊	sciencechinamathematics
ISSN	1674-7283
卷号	56 期号:3 页码:443
摘要	The choice of weights in frequentist model average estimators is an important but difficult problem. Liang et al. (2011) suggested a criterion for the choice of weight under a general parametric framework which is termed as the generalized OPT (GOPT) criterion in the present paper. However, no properties and applications of the criterion have been studied. This paper is devoted to the further investigation of the GOPT criterion. We show that how to use this criterion for comparison of some existing weights such as the smoothed AIC-based and BIC-based weights and for the choice between model averaging and model selection. Its connection to the Mallows and ordinary OPT criteria is built. The asymptotic optimality on the criterion in the case of non-random weights is also obtained. Finite sample performance of the GOPT criterion is assessed by simulations. Application to the analysis of two real data sets is presented as well.
语种	英语
资助项目	[NSFC] ; [National Natural Science Foundation of China] ; [Hundred Talents Program of the Chinese Academy of Sciences] ; [National Science Foundation of United States]
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/44528
专题	系统科学研究所
作者单位	1.中国科学院数学与系统科学研究院 2.罗彻斯特大学
推荐引用方式 GB/T 7714	Zhang Xinyu,Zou Guohua,Liang Hua. choiceofweightsinfmaestimatorsundergeneralparametricmodels[J]. sciencechinamathematics,2013,56(3):443.
APA	Zhang Xinyu,Zou Guohua,&Liang Hua.(2013).choiceofweightsinfmaestimatorsundergeneralparametricmodels.sciencechinamathematics,56(3),443.
MLA	Zhang Xinyu,et al."choiceofweightsinfmaestimatorsundergeneralparametricmodels".sciencechinamathematics 56.3(2013):443.