KMS Of Academy of mathematics and systems sciences, CAS
Least Squares Model Averaging Based on Generalized Cross Validation | |
Li, Xin-min1; Zou, Guo-hua2; Zhang, Xin-yu3,4; Zhao, Shang-wei5 | |
2021-07-01 | |
发表期刊 | ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES |
ISSN | 0168-9673 |
卷号 | 37期号:3页码:495-509 |
摘要 | Frequentist model averaging has received much attention from econometricians and statisticians in recent years. A key problem with frequentist model average estimators is the choice of weights. This paper develops a new approach of choosing weights based on an approximation of generalized cross validation. The resultant least squares model average estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. Especially, the optimality is built under both discrete and continuous weigh sets. Compared with the existing approach based on Mallows criterion, the conditions required for the asymptotic optimality of the proposed method are more reasonable. Simulation studies and real data application show good performance of the proposed estimators. |
关键词 | asymptotic optimality frequentist model averaging generalized cross validation mallows criterion |
DOI | 10.1007/s10255-021-1024-x |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Key R&D Program of China[2020AAA0105200] ; Ministry of Science and Technology of China[2016YFB0502301] ; National Natural Science Foundation of China[11871294] ; National Natural Science Foundation of China[12031016] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[72042019] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[12001559] ; Academy for Multidisciplinary Studies, Capital Normal University |
WOS研究方向 | Mathematics |
WOS类目 | Mathematics, Applied |
WOS记录号 | WOS:000681749800005 |
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/59036 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Zhang, Xin-yu |
作者单位 | 1.Qingdao Univ, Sch Math & Stat, Qingdao 266071, Peoples R China 2.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China 5.Minzu Univ China, Coll Sci, Beijing 100081, Peoples R China |
推荐引用方式 GB/T 7714 | Li, Xin-min,Zou, Guo-hua,Zhang, Xin-yu,et al. Least Squares Model Averaging Based on Generalized Cross Validation[J]. ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,2021,37(3):495-509. |
APA | Li, Xin-min,Zou, Guo-hua,Zhang, Xin-yu,&Zhao, Shang-wei.(2021).Least Squares Model Averaging Based on Generalized Cross Validation.ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES,37(3),495-509. |
MLA | Li, Xin-min,et al."Least Squares Model Averaging Based on Generalized Cross Validation".ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES 37.3(2021):495-509. |
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