KMS Of Academy of mathematics and systems sciences, CAS
| A model-averaging treatment of multiple instruments in Poisson models with errors | |
| Zhang, Xiaomeng1,2; Zhang, Xinyu1,3; Ma, Yanyuan4 | |
| 2021-12-15 | |
| Source Publication | CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
 |
| ISSN | 0319-5724 |
| Pages | 26 |
| Abstract | We analyze Poisson regression when covariates contain measurement errors and when multiple potential instrumental variables are available. Without empirical knowledge to select the most suitable variable as an instrument, we propose a novel model-averaging approach to resolve this issue. We prescribe an implementation and establish its optimality in terms of minimizing prediction risk. We further show that, as long as one model is correctly specified among all potential instrumental variable models, our method will lead to consistent prediction. The performance of our method is illustrated through simulations and a movie sales example. |
| Keyword | Count response error in variable instrumental variable measurement error minimum risk model averaging Poisson regression prediction optimality |
| DOI | 10.1002/cjs.11678 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | Beijing Natural Science Foundation[Z210003] ; National Key R&D Program of China[2020AAA0105200] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[11688101] ; Academy for Multidisciplinary Studies, Capital Normal University ; National Science Foundation ; National Institutes of Health |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000730249800001 |
| Publisher | WILEY |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59665 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Xiaomeng |
| Affiliation | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 3.Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China 4.Penn State Univ, Dept Stat, University Pk, PA 16802 USA |
| Recommended Citation GB/T 7714 | Zhang, Xiaomeng,Zhang, Xinyu,Ma, Yanyuan. A model-averaging treatment of multiple instruments in Poisson models with errors[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,2021:26. |
| APA | Zhang, Xiaomeng,Zhang, Xinyu,&Ma, Yanyuan.(2021).A model-averaging treatment of multiple instruments in Poisson models with errors.CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE,26. |
| MLA | Zhang, Xiaomeng,et al."A model-averaging treatment of multiple instruments in Poisson models with errors".CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE (2021):26. |
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