A general procedure to combine estimators
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Publication:1660150
DOI10.1016/J.CSDA.2015.08.001zbMATH Open1468.62110arXiv1401.6371OpenAlexW1871249542MaRDI QIDQ1660150FDOQ1660150
Frédéric Lavancier, Paul Rochet
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1401.6371
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Cited In (13)
- Combining the unrestricted estimators into a single estimator and a simulation study on the unrestricted estimators
- Influence analysis of robust Wald-type tests
- Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
- Some aspects of fusion in estimation theory
- Moment conditions for the quadratic regression model with measurement error
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