Model averaging for multivariate multiple regression models

DOI10.1080/02331888.2017.1367794MaRDI QIDQ4639157zbMATH OpenOpenAlexFDO

Authors Rong Zhu, Xinyu Zhang, Guohua Zou

Publication date 3 May 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2017.1367794

zbMATH Keywords

asymptotic optimalityMahalanobis distanceMallows criterionmodel averagingmultivariate multiple regression model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Applications of statistics to social sciences (62P25)

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Cites work

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Cited in

(11)

• Model averaging with averaging covariance matrix
• Model averaging with high-dimensional dependent data
• Model averaging prediction for time series models with a diverging number of parameters
• Optimal model averaging for multivariate regression models
• scientific article; zbMATH DE number 1748558 (Why is no real title available?)
• Model averaging, asymptotic risk, and regressor groups
• Local averaging of heterogeneous regression models
• Optimal model averaging estimator for multinomial logit models
• Predicting the multivariate zero-inflated counts: a novel model averaging method under Pearson loss
• A scalable model averaging based on Kullback-Leibler distance for multivariate regression models
• Model averaging for multivariate multiple regression models based on reduced-rank regression

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