Forward-validation model averaging for discrete response MIDAS model
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Cites work
- A weight-relaxed model averaging approach for high-dimensional generalized linear models
- Adaptive Regression by Mixing
- Adaptively combined forecasting for discrete response time series
- Averaging estimators for discrete choice by \(M\)-fold cross-validation
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- Distribution theory of the least squares averaging estimator
- Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
- Focused information criterion and model averaging for generalized additive partial linear models
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- Frequentist Model Average Estimators
- Frequentist model averaging for threshold models
- Handbook of Volatility Models and Their Applications
- scientific article; zbMATH DE number 7601218 (Why is no real title available?)
- Jackknife model averaging
- Least Squares Model Averaging
- Least squares model averaging by Mallows criterion
- Maximum Likelihood Estimation of Misspecified Models
- Model averaging based on leave-subject-out cross-validation
- Model averaging estimation for varying-coefficient single-index models
- Model Averaging for Nonlinear Regression Models
- Model averaging multistep prediction in an infinite order autoregressive process
- Model averaging prediction by K-fold cross-validation
- Model averaging prediction for time series models with a diverging number of parameters
- Optimal model averaging based on forward-validation
- Optimal weight choice for frequentist model average estimators
- Penalized time-varying model averaging
- Smoothing for discrete-valued time series
- Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
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