Frequentist model averaging under inequality constraints

doi:10.1016/j.jspi.2022.03.002

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	Frequentist model averaging under inequality constraints
	Zhu, Rong 1; Zhang, Xinyu 2,3; Wand, Alan T. K.4; Zou, Guohua 5
	2022-12-01
发表期刊	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
ISSN	0378-3758
卷号	221 页码:100-113
摘要	Motivated by the inability of the Akaike information criterion to distinguish between statistical models with inequality constraints on parameters, a series of papers have considered alternative model selection criteria for models under inequality constraints. Among the criteria proposed, the order-restricted information criterion and its generalised version have received the most attention. This paper considers the alternative approach of model averaging, where estimates are obtained based not on one single linear model, but a weighted ensemble of linear models each subject to a distinct set of linear inequality constraints. We develop a J-fold cross validation criterion for choosing model weights that reflect the support of the models by the data, and prove that the resultant model average estimator has an optimal asymptotic property. We further prove that for the special case of a finite number of regressors, the sum of the weights obtained by the proposed method for models with the correct inequality constraints converges to one in probability. In our limited simulation study and real data analysis, it is observed that the proposed model average estimator frequently outperforms the estimator that arises from the generalised order-restricted information-based model selection criterion in terms of average MSE and median MSE. (C) 2022 Elsevier B.V. All rights reserved.
关键词	Cross validation Inequality constraints Model averaging Order-restricted information criterion
DOI	10.1016/j.jspi.2022.03.002
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China (NNSFC)[71925007] ; National Natural Science Foundation of China (NNSFC)[72091212] ; National Natural Science Foundation of China (NNSFC)[71988101] ; National Natural Science Foundation of China (NNSFC)[11688101] ; National Natural Science Foundation of China (NNSFC)[71973116] ; National Natural Science Foundation of China (NNSFC)[11971323] ; National Natural Science Foundation of China (NNSFC)[12031016] ; CAS Project for Young Scientists in Basic Research[YSBR-008] ; Academy for Multidisciplinary Studies, Capital Normal University ; General Research Fund from the Hong Kong Research Grants Council[CityU 11500419] ; City University of Hong Kong[7004786]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000795905400003
出版者	ELSEVIER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/61346
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Xinyu
作者单位	1.Univ Cambridge, Sch Clin Med, MRC Biostat Unit, Cambridge CB2 0SR, England 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.Beijing Acad Artificial Intelligence, Beijing, Peoples R China 4.City Univ Hong Kong, Dept Management Sci & Sch Data Sci, Kowloon, Hong Kong, Peoples R China 5.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Rong,Zhang, Xinyu,Wand, Alan T. K.,et al. Frequentist model averaging under inequality constraints[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2022,221:100-113.
APA	Zhu, Rong,Zhang, Xinyu,Wand, Alan T. K.,&Zou, Guohua.(2022).Frequentist model averaging under inequality constraints.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,221,100-113.
MLA	Zhu, Rong,et al."Frequentist model averaging under inequality constraints".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 221(2022):100-113.