Least Squares Model Averaging Based on Generalized Cross Validation

doi:10.1007/s10255-021-1024-x

	Least Squares Model Averaging Based on Generalized Cross Validation
	Li, Xin-min 5; Zou, Guo-hua 4; Zhang, Xin-yu 2,3; Zhao, Shang-wei 1
刊名	ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES
	2021-07-01
卷号	37 期号:3 页码:495-509
关键词	asymptotic optimality frequentist model averaging generalized cross validation mallows criterion
ISSN号	0168-9673
DOI	10.1007/s10255-021-1024-x
英文摘要	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.
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
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000681749800005
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59035]
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.Minzu Univ China, Coll Sci, Beijing 100081, Peoples R China 2.Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 4.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China 5.Qingdao Univ, Sch Math & Stat, Qingdao 266071, 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.