On improvability of model averaging by penalized model selection

DOI10.1002/STA4.529MaRDI QIDQ6548770zbMATH OpenFDO

Authors Kun Cao, Xinmin Li, Yali Zhou, Chen-chen Zou

Publication date 3 June 2024

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.529

zbMATH Keywords

asymptotic optimalityconvex optimizationGCVmodel averagingsparsified weighting

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A weight-relaxed model averaging approach for high-dimensional generalized linear models
• Corrected Mallows criterion for model averaging
• Distribution theory of the least squares averaging estimator
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• Heteroscedasticity-robust \(C_p\) model averaging
• High-dimensional statistics. A non-asymptotic viewpoint
• Inference after model averaging in linear regression models
• Least Squares Model Averaging
• Least squares model averaging based on generalized cross validation
• Least squares model averaging by Mallows criterion
• Model Selection: An Integral Part of Inference
• On the adaptive elastic net with a diverging number of parameters
• On the sparsity of Mallows model averaging estimator
• The Adaptive Lasso and Its Oracle Properties

Cited in

(3)

• Penalized Mallow’s model averaging
• Penalized jackknife model averaging
• Asymptotic optimality of generalized cross validation and regularized Mallows model averaging

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