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Model averaging prediction for time series models with a diverging number of parameters 期刊论文
JOURNAL OF ECONOMETRICS, 2021, 卷号: 223, 期号: 1, 页码: 190-221
Authors:  Liao, Jun;  Zou, Guohua;  Gao, Yan;  Zhang, Xinyu
Favorite  |  View/Download:5/0  |  Submit date:2021/10/26
Asymptotic optimality  Autoregressive process  Consistency  Mallows criterion  Model averaging  
Least Squares Model Averaging Based on Generalized Cross Validation 期刊论文
ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES, 2021, 卷号: 37, 期号: 3, 页码: 495-509
Authors:  Li, Xin-min;  Zou, Guo-hua;  Zhang, Xin-yu;  Zhao, Shang-wei
Favorite  |  View/Download:7/0  |  Submit date:2021/10/26
asymptotic optimality  frequentist model averaging  generalized cross validation  mallows criterion  
Model Averaging Estimation for Varying-Coefficient Single-Index Models 期刊论文
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY, 2021, 页码: 19
Authors:  Liu, Yue;  Zou, Jiahui;  Zhao, Shangwei;  Yang, Qinglong
Favorite  |  View/Download:11/0  |  Submit date:2021/06/01
Asymptotic optimality  kernel-local smoothing method  Mallows-type criterion  model averaging  varying-coefficient single-index model  
Model averaging estimation for high-dimensional covariance matrices with a network structure 期刊论文
ECONOMETRICS JOURNAL, 2021, 卷号: 24, 期号: 1, 页码: 177-197
Authors:  Zhu, Rong;  Zhang, Xinyu;  Ma, Yanyuan;  Zou, Guohua
Favorite  |  View/Download:16/0  |  Submit date:2021/06/01
asymptotic optimality  consistency  covariance regression network model  Mallows criterion  model averaging  
Assessing the price dynamics of onshore and offshore RMB markets: An ITS model approach 期刊论文
CHINA ECONOMIC REVIEW, 2020, 卷号: 62, 页码: 12
Authors:  Sun, Yuying;  Bao, Qin;  Zheng, Jiali;  Wang, Shouyang
Favorite  |  View/Download:15/0  |  Submit date:2021/01/14
RMB exchange rate  Onshore and offshore markets  Price dynamics, interval time series  
Parsimonious Model Averaging With a Diverging Number of Parameters 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2019, 页码: 13
Authors:  Zhang, Xinyu;  Zou, Guohua;  Liang, Hua;  Carroll, Raymond J.
Favorite  |  View/Download:39/0  |  Submit date:2020/01/10
Asymptotic optimality  Frequentist model averaging  Jackknife model averaging  Mallows model averaging  Parsimony  
A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2019, 卷号: 114, 期号: 526, 页码: 882-892
Authors:  Zhu, Rong;  Wan, Alan T. K.;  Zhang, Xinyu;  Zou, Guohua
Favorite  |  View/Download:34/0  |  Submit date:2020/01/10
Asymptotic optimality  Heteroscedasticity  Mallows criterion  Model averaging  Varying-coefficient partially linear model  
Spatial weights matrix selection and model averaging for spatial autoregressive models 期刊论文
JOURNAL OF ECONOMETRICS, 2018, 卷号: 203, 期号: 1, 页码: 1-18
Authors:  Zhang, Xinyu;  Yu, Jihai
Favorite  |  View/Download:34/0  |  Submit date:2018/07/30
Model averaging  Model selection  Spatial autoregressive  Spatial econometrics  
Model averaging for multivariate multiple regression models 期刊论文
STATISTICS, 2018, 卷号: 52, 期号: 1, 页码: 205-227
Authors:  Zhu, Rong;  Zou, Guohua;  Zhang, Xinyu
Favorite  |  View/Download:38/0  |  Submit date:2018/07/30
Asymptotic optimality  Mahalanobis distance  Mallows criterion  model averaging  multivariate multiple regression model  
Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models 期刊论文
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2016, 卷号: 111, 期号: 516, 页码: 1775-1790
Authors:  Zhang, Xinyu;  Yu, Dalei;  Zou, Guohua;  Liang, Hua
Favorite  |  View/Download:23/0  |  Submit date:2018/07/30
Asymptotic optimality  Kullback-Leibler loss  Misspecification  Penalized generalized weighted least squares (PGWLS)  Prediction accuracy