Least Squares Model Averaging Based on Generalized Cross Validation

doi:10.1007/s10255-021-1024-x

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	Least Squares Model Averaging Based on Generalized Cross Validation
	Li, Xin-min 1; Zou, Guo-hua 2; Zhang, Xin-yu 3,4; Zhao, Shang-wei 5
	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.