Modified parsimonious model averaging under heteroscedasticity

DOI10.1002/STA4.70033MaRDI QIDQ6963020zbMATH OpenFDO

Authors Shangwei Zhao, Xiaoyan Chen

Publication date 8 July 2025

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.70033

zbMATH Keywords

asymptotic distributionasymptotic optimalityheteroscedasticitymodel averaging

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A new look at the statistical model identification
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• Distribution theory of the least squares averaging estimator
• Estimating the dimension of a model
• Frequentist Model Average Estimators
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• Inference after model averaging in linear regression models
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• Least Squares Model Averaging
• Least squares model averaging for two non-nested linear models
• Least-squares forecast averaging
• Model averaging with averaging covariance matrix
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Partial linear model averaging prediction for longitudinal data
• Spatial weights matrix selection and model averaging for spatial autoregressive models

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