A general procedure to combine estimators
From MaRDI portal
Publication:1660150
Abstract: A general method to combine several estimators of the same quantity is investigated. In the spirit of model and forecast averaging, the final estimator is computed as a weighted average of the initial ones, where the weights are constrained to sum to one. In this framework, the optimal weights, minimizing the quadratic loss, are entirely determined by the mean square error matrix of the vector of initial estimators. The averaging estimator is built using an estimation of this matrix, which can be computed from the same dataset. A non-asymptotic error bound on the averaging estimator is derived, leading to asymptotic optimality under mild conditions on the estimated mean square error matrix. This method is illustrated on standard statistical problems in parametric and semi-parametric models where the averaging estimator outperforms the initial estimators in most cases.
Recommendations
- Optimal weight choice for frequentist model average estimators
- Averaging of an increasing number of moment condition estimators
- A tutorial on estimator averaging in spatial point process models
- COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
- Weight choice by minimizing MSE for general likelihood averaging
Cites work
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 3448510 (Why is no real title available?)
- scientific article; zbMATH DE number 5060482 (Why is no real title available?)
- Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
- Aggregating regression procedures to improve performance
- Aggregation and Sparsity Via ℓ1 Penalized Least Squares
- Almost Linearly-Optimum Combination of Unbiased Estimates
- Bayesian Model Averaging for Linear Regression Models
- Bayesian model selection and model averaging
- Combining Unbiased Estimators
- Combining correlated unbiased estimators of the mean of a normal distribution
- Densities for stationary random sets and point processes
- Frequentist Model Average Estimators
- Functional aggregation for nonparametric regression.
- Handbook of economic forecasting. Volume 1
- Jackknife model averaging
- Least Squares Model Averaging
- Lectures on probability theory and statistics. École d'Été de Probabilités de Saint-Flour XXVIII - 1998. Summer school, Saint-Flour, France, August 17 -- September 3, 1998
- Linear and convex aggregation of density estimators
- Mixing strategies for density estimation.
- Model Selection: An Integral Part of Inference
- On combining unbiased estimators of the mean
- Prediction, Learning, and Games
- Sharp oracle inequalities for aggregation of affine estimators
- Sparse Density Estimation with ℓ1 Penalties
- Statistical learning theory and stochastic optimization. Ecole d'Eté de Probabilitiés de Saint-Flour XXXI -- 2001.
- Statistics of the Boolean model for practitioners and mathematicians
- Statistics of the Boolean model: from the estimation of means to the estimation of distributions
- Stochastic geometry and its applications
Cited in
(15)- Combining the unrestricted estimators into a single estimator and a simulation study on the unrestricted estimators
- Influence analysis of robust Wald-type tests
- Averaging of an increasing number of moment condition estimators
- Some aspects of fusion in estimation theory
- Modelling aggregation on the large scale and regularity on the small scale in spatial point pattern datasets
- Estimator models for combining vector estimators
- Semiparametric Goodness-of-Fit Test for Clustered Point Processes with a Shape-Constrained Pair Correlation Function
- Explicit and combined estimators for parameters of stable distributions
- Towards a better understanding of the dual representation of phi divergences
- Moment conditions for the quadratic regression model with measurement error
- Contrast estimation for parametric stationary determinantal point processes
- A tutorial on estimator averaging in spatial point process models
- Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
- Averaging of density kernel estimators
- Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments
This page was built for publication: A general procedure to combine estimators
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1660150)
