Cross-validation for selecting the penalty factor in least squares model averaging

DOI10.1016/J.ECONLET.2022.110683MaRDI QIDQ2159840zbMATH OpenOpenAlexFDO

Authors Fang Fang, Qiwei Yang, Wenling Tian

Publication date 2 August 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110683

zbMATH Keywords

cross-validationlinear modelsfrequentist model averagingMallows model averaging

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
• A weight-relaxed model averaging approach for high-dimensional generalized linear models
• Cholesky-based model averaging for covariance matrix estimation
• Consistency of model averaging estimators
• Cross-validation for selecting a model selection procedure
• Inference after model averaging in linear regression models
• Jackknife model averaging
• Least Squares Model Averaging
• Linear Model Selection by Cross-Validation
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Semiparametric model averaging prediction for dichotomous response

Cited in

(4)

• Complete subset averaging approach for high-dimensional generalized linear models
• scientific article; zbMATH DE number 775735 (Why is no real title available?)
• Model averaging: a shrinkage perspective
• A penalized approach to mixed model selection via cross-validation

This page was built for publication: Cross-validation for selecting the penalty factor in least squares model averaging

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2159840)