Minimum mean squared error model averaging in likelihood models

DOI10.5705/SS.202014.0067MaRDI QIDQ2796883zbMATH OpenOpenAlexFDO

Authors Ali Charkhi, Bruce E. Hansen, Gerda Claeskens

Publication date 30 March 2016

Published in Statistica Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.5705/ss.202014.0067

zbMATH Keywords

mean squared errorfrequentist model averagingweight choicelocal misspecificationlikelihood regression

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12)

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Cited in

(21)

• A general framework for frequentist model averaging
• Model averaging prediction for possibly nonstationary autoregressions
• Frequentist model averaging in the generalized multinomial logit model
• Optimal weight choice for frequentist model average estimators
• Focused information criterion for locally misspecified vector autoregressive models
• Optimal model averaging for divergent-dimensional Poisson regressions
• Multimodel inference based on smoothed information criteria
• Kernel Averaging Estimators
• Model averaging prediction by K-fold cross-validation
• Frequentist model averaging under inequality constraints
• Weight choice by minimizing MSE for general likelihood averaging
• Selection of weights for weighted model averaging
• A Scalable Frequentist Model Averaging Method
• Instrumental variable model average with applications in Mendelian randomization
• Frequentist model averaging for threshold models
• Optimal model averaging for multivariate regression models
• Relative error model average for multiplicative models
• Dynamic prediction of an event using multiple longitudinal markers: a model averaging approach
• Corrected Mallows criterion for model averaging
• Model averaging for generalized linear models in diverging model spaces with effective model size
• Frequentist model averaging in structural equation modelling

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