Model averaging with high-dimensional dependent data

DOI10.1016/j.econlet.2016.09.010zbMath1400.62151OpenAlexW2522724231MaRDI QIDQ1672723

Jianhong Zhou, Hong Jun Li, Shang-Wei Zhao

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.09.010

zbMATH Keywords

optimalityasymptotically optimaldependent datamodel averagingprediction accuracyhigh dimension

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (1)

Detangling robustness in high dimensions: composite versus model-averaged estimation

Cites Work

• Unnamed Item
• Nearly unbiased variable selection under minimax concave penalty
• Model averaging based on James-Stein estimators
• Jackknife model averaging
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Model averaging with averaging covariance matrix
• Model averaging by jackknife criterion in models with dependent data
• Frequentist model averaging with missing observations
• Model averaging with covariates that are missing completely at random
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Model averaging based on Kullback-Leibler distance
• Model Selection: An Integral Part of Inference
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• A Model-Averaging Approach for High-Dimensional Regression
• Heteroscedasticity‐robustCpmodel averaging
• Model Selection and Estimation in Regression with Grouped Variables
• Least Squares Model Averaging
• Model averaging based on leave-subject-out cross-validation

This page was built for publication: Model averaging with high-dimensional dependent data