Interval Estimation by Frequentist Model Averaging

DOI10.1080/03610926.2011.647218zbMath1462.62117OpenAlexW2090396547MaRDI QIDQ2873929

Sherry Z. F. Zhou, Hai Ying Wang

Publication date: 28 January 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.647218

zbMATH Keywords

confidence intervalparametric modelmodel averagingasymptotic equivalencesemi-parametric model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20)

Related Items

Model averaging based on rank ⋮ Model selection and model averaging after multiple imputation ⋮ Focused and Model Average Estimation for Regression Analysis of Panel Count Data ⋮ Bootstrapping some GLM and survival regression variable selection estimators ⋮ Model-Averaged Confidence Intervals ⋮ When and when not to use optimal model averaging ⋮ On the least-squares model averaging interval estimator ⋮ Bootstrapping multiple linear regression after variable selection ⋮ Frequentist model averaging in structural equation modelling ⋮ Frequentist model averaging in structure equation model with ordinal data

Cites Work

• Least-squares forecast averaging
• Frequentist model averaging estimation: a review
• Least squares model averaging by Mallows criterion
• Local polynomial fitting in semivarying coefficient model
• Profile likelihood inferences on semiparametric varying-coefficient partially linear models
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Estimating the dimension of a model
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Model uncertainty
• Optimal critical values of pre-tests when estimating the regression error variance: Analytical findings under a general loss structure
• The risk inflation criterion for multiple regression
• Focused information criterion and model averaging for generalized additive partial linear models
• On the harm that ignoring pretesting can cause
• Frequentist model averaging with missing observations
• A comparison of two model averaging techniques with an application to growth empirics
• Optimal Weight Choice for Frequentist Model Average Estimators
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Model Selection and Model Averaging
• Information Theory and Mixing Least-Squares Regressions
• Model Selection: An Integral Part of Inference
• Adaptive Regression by Mixing
• Frequentist Model Average Estimators
• The Focused Information Criterion
• Least Squares Model Averaging
• An asymptotic theory for model selection inference in general semiparametric problems
• Combining Linear Regression Models
• On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection

This page was built for publication: Interval Estimation by Frequentist Model Averaging