Model Averaging Estimation for Varying-Coefficient Single-Index Models
Liu, Yue1; Zou, Jiahui2,3; Zhao, Shangwei4; Yang, Qinglong5
AbstractThe 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.
KeywordAsymptotic optimality kernel-local smoothing method Mallows-type criterion model averaging varying-coefficient single-index model
Indexed BySCI
Funding ProjectNational Nature Science Foundation of China[12001559] ; National Nature Science Foundation of China[11971324] ; Ministry of Education of Humanities and Social Science project[19YJC910008]
WOS Research AreaMathematics
WOS SubjectMathematics, Interdisciplinary Applications
WOS IDWOS:000636951200001
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Document Type期刊论文
Corresponding AuthorZou, Jiahui
Affiliation1.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
Recommended Citation
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.
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