Complete subset averaging approach for high-dimensional generalized linear models

DOI10.1016/J.ECONLET.2023.111084MaRDI QIDQ6047329zbMATH OpenFDO

Authors Xingyi Chen, Haiqi Li, Jing Zhang

Publication date 12 September 2023

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ECONLET.2023.111084

zbMATH Keywords

asymptotic optimalitycomplete subset averaginggeneralized linear modelsKullback-Leibler loss

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12)

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Cites work

• A weight-relaxed model averaging approach for high-dimensional generalized linear models
• An optimal selection of regression variables
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS
• Complete subset averaging with many instruments
• Complete subset regressions
• Cross-validation for selecting the penalty factor in least squares model averaging
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
• Frequentist Model Average Estimators
• scientific article; zbMATH DE number 3165002 (Why is no real title available?)
• Jackknife model averaging
• Least Squares Model Averaging
• Least squares model averaging by Mallows criterion
• Limit of the optimal weight in least squares model averaging with non-nested models
• Maximum Likelihood Estimation of Misspecified Models
• Model averaging and weight choice in linear mixed-effects models
• Optimal Model Averaging Based on Generalized Method of Moments
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion

Cited in

(3)

• Complete subset regressions with large-dimensional sets of predictors
• Model averaging for generalized linear models in diverging model spaces with effective model size
• A weight-relaxed model averaging approach for high-dimensional generalized linear models

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