Asymptotic optimality of generalized cross validation and regularized Mallows model averaging

DOI10.1016/J.SPL.2025.110406MaRDI QIDQ7000793zbMATH OpenFDO

Authors Chen-chen Zou, Xinmin Li, Hua Liang, Xin Li

Publication date 7 April 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2025.110406

zbMATH Keywords

asymptotic optimalityGCV-based model averagingweight selection

Mathematics Subject Classification ID

Parametric inference (62Fxx) Linear inference, regression (62Jxx) Applications of statistics (62Pxx)

Cites work

• A new study on asymptotic optimality of least squares model averaging
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
• Corrected Mallows criterion for model averaging
• Jackknife model averaging
• Least Squares Model Averaging
• Least squares model averaging based on generalized cross validation
• Least squares model averaging by Mallows criterion
• Model averaging based on Kullback-Leibler distance
• Model averaging by jackknife criterion in models with dependent data
• Model averaging prediction by K-fold cross-validation
• On improvability of model averaging by penalized model selection
• On the sparsity of Mallows model averaging estimator
• Optimal model average prediction in orthogonal kriging models
• Parsimonious Model Averaging With a Diverging Number of Parameters

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