Frequentist model averaging under a linear exponential loss

DOI10.1007/S11222-025-10589-8MaRDI QIDQ6995225zbMATH OpenFDO

Authors Xinmin Li, Hua Liang, Tingting Tong, Tian Xie

Publication date 22 April 2025

Published in Statistics and Computing (Search for Journal in Brave)

zbMATH Keywords

asymptotic optimalityvolatility forecastingasymmetric lossLINEXLMA

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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