Frequentist model averaging estimation: a review

doi:10.1007/s11424-009-9198-y

CSpace > 系统科学研究所

	Frequentist model averaging estimation: a review
	Wang, Haiying 1,2; Zhang, Xinyu1,2 ; Zou, Guohua 1,2
	2009-12-01
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
卷号	22 期号:4 页码:732-748
摘要	In applications, the traditional estimation procedure generally begins with model selection. Once a specific model is selected, subsequent estimation is conducted under the selected model without consideration of the uncertainty from the selection process. This often leads to the underreporting of variability and too optimistic confidence sets. Model averaging estimation is an alternative to this procedure, which incorporates model uncertainty into the estimation process. In recent years, there has been a rising interest in model averaging from the frequentist perspective, and some important progresses have been made. In this paper, the theory and methods on frequentist model averaging estimation are surveyed. Some future research topics are also discussed.
关键词	Adaptive regression asymptotic theory frequentist model averaging model selection optimality
DOI	10.1007/s11424-009-9198-y
语种	英语
资助项目	National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[10721101] ; National Natural Science Foundation of China[70221001]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000272037900014
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/7517
专题	系统科学研究所
通讯作者	Zou, Guohua
作者单位	1.Academy of Mathemat and Systems Science, Chinese Academy of Sciences, Beijing 100190, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wang, Haiying,Zhang, Xinyu,Zou, Guohua. Frequentist model averaging estimation: a review[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2009,22(4):732-748.
APA	Wang, Haiying,Zhang, Xinyu,&Zou, Guohua.(2009).Frequentist model averaging estimation: a review.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,22(4),732-748.
MLA	Wang, Haiying,et al."Frequentist model averaging estimation: a review".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY 22.4(2009):732-748.