Choice of weights in FMA estimators under general parametric models

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	Choice of weights in FMA estimators under general parametric models
其他题名	Choice of weights in FMA estimators under general parametric models
	Zhang XinYu 1; Zou GuoHua 1; Liang Hua 3
	2013
发表期刊	SCIENCE CHINA-MATHEMATICS
ISSN	1674-7283
卷号	56 期号:3 页码:443-457
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.
其他摘要	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.
关键词	REGRESSION SELECTION asymptotic optimality likelihood inference model averaging model selection model selection diagnostics
收录类别	CSCD
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]
CSCD记录号	CSCD:4790315
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/53623
专题	中国科学院数学与系统科学研究院
作者单位	1.中国科学院数学与系统科学研究院 2.中国科学院 3.University Rochester, Med Ctr, Dept Biostat & Computat Biol, Rochester, NY 14642 USA
推荐引用方式 GB/T 7714	Zhang XinYu,Zou GuoHua,Liang Hua. Choice of weights in FMA estimators under general parametric models[J]. SCIENCE CHINA-MATHEMATICS,2013,56(3):443-457.
APA	Zhang XinYu,Zou GuoHua,&Liang Hua.(2013).Choice of weights in FMA estimators under general parametric models.SCIENCE CHINA-MATHEMATICS,56(3),443-457.
MLA	Zhang XinYu,et al."Choice of weights in FMA estimators under general parametric models".SCIENCE CHINA-MATHEMATICS 56.3(2013):443-457.