Model Averaging Estimation for Varying-Coefficient Single-Index Models

doi:10.1007/s11424-021-0158-5

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	Model Averaging Estimation for Varying-Coefficient Single-Index Models
	Liu, Yue 1; Zou, Jiahui 2,3; Zhao, Shangwei 4; Yang, Qinglong 5
	2021-04-05
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
页码	19
摘要	The varying-coefficient single-index model (VCSIM) is widely used in economics, statistics and biology. A model averaging method for VCSIM based on a Mallows-type criterion is proposed to improve prodictive capacity, which allows the number of candidate models to diverge with sample size. Under model misspecification, the asymptotic optimality is derived in the sense of achieving the lowest possible squared errors. The authors compare the proposed model averaging method with several other classical model selection methods by simulations and the corresponding results show that the model averaging estimation has a outstanding performance. The authors also apply the method to a real dataset.
关键词	Asymptotic optimality kernel-local smoothing method Mallows-type criterion model averaging varying-coefficient single-index model
DOI	10.1007/s11424-021-0158-5
收录类别	SCI
语种	英语
资助项目	National Nature Science Foundation of China[12001559] ; National Nature Science Foundation of China[11971324] ; Ministry of Education of Humanities and Social Science project[19YJC910008]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000636951200001
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/58436
专题	中国科学院数学与系统科学研究院
通讯作者	Zou, Jiahui
作者单位	1.Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China 2.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Minzu Univ China, Sch Sci, Beijing 100081, Peoples R China 5.Zhongnan Univ Econ & Law, Sch Math & Stat, Wuhan 430073, Peoples R China
推荐引用方式 GB/T 7714	Liu, Yue,Zou, Jiahui,Zhao, Shangwei,et al. Model Averaging Estimation for Varying-Coefficient Single-Index Models[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:19.
APA	Liu, Yue,Zou, Jiahui,Zhao, Shangwei,&Yang, Qinglong.(2021).Model Averaging Estimation for Varying-Coefficient Single-Index Models.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,19.
MLA	Liu, Yue,et al."Model Averaging Estimation for Varying-Coefficient Single-Index Models".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):19.