Optimal Weight Choice for Frequentist Model Average Estimators

DOI10.1198/jasa.2011.tm09478zbMath1229.62090OpenAlexW2028763699MaRDI QIDQ3111197

Xinyu Zhang, Alan T. K. Wan, Hua Liang, Guo Hua Zou

Publication date: 18 January 2012

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2011.tm09478

zbMATH Keywords

asymptotic optimalityMallows criterionfinite sample propertiessmoothed AICsmoothed BICunbiased MSE estimate

Mathematics Subject Classification ID

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