Choice of weights in FMA estimators under general parametric models

DOI10.1007/S11425-012-4545-1MaRDI QIDQ362530zbMATH OpenOpenAlexFDO

Authors Xinyu Zhang, Hua Liang, Guohua Zou

Publication date 22 August 2013

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-012-4545-1

zbMATH Keywords

model selectionlikelihood inferencemodel averagingasymptotic optimalitymodel selection diagnostics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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Cites work

• Adaptive Regression by Mixing
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Best Subsets Logistic Regression
• Choosing the Number of Instruments
• Combining Linear Regression Models
• Combining models in longitudinal data analysis
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Focused information criterion and model averaging for generalized additive partial linear models
• Frequentist Model Average Estimators
• Frequentist model averaging estimation: a review
• Information Theory and Mixing Least-Squares Regressions
• Least Squares Model Averaging
• Least squares model averaging by Mallows criterion
• Linear Statistical Inference and its Applications
• Methods and Applications of Linear Models
• Model Selection and Model Averaging
• Model Selection: An Integral Part of Inference
• Optimal weight choice for frequentist model average estimators
• The Focused Information Criterion
• The distribution of model averaging estimators and an impossibility result regarding its estima\-tion
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion

Cited in

(4)

• Optimal weight choice for frequentist model average estimators
• Focused information criterion and model averaging in censored quantile regression
• Multimodel inference based on smoothed information criteria
• Consistency of averaged impulse response estimators in vector autoregressive models

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