A model-averaging treatment of multiple instruments in Poisson models with errors

doi:10.1002/cjs.11678

	A model-averaging treatment of multiple instruments in Poisson models with errors
	Zhang, Xiaomeng 3,4; Zhang, Xinyu 2,4; Ma, Yanyuan 1
刊名	CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE
	2021-12-15
页码	26
关键词	Count response error in variable instrumental variable measurement error minimum risk model averaging Poisson regression prediction optimality
ISSN号	0319-5724
DOI	10.1002/cjs.11678
英文摘要	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.
资助项目	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研究方向	Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000730249800001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/59664]
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Xiaomeng
作者单位	1.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 2.Beijing Acad Artificial Intelligence, Beijing 100084, Peoples R China 3.Univ Chinese Acad Sci, Beijing 100049, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 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.