Frequentist Model Average Estimators

DOI10.1198/016214503000000828zbMATH Open1047.62003OpenAlexW2078502317MaRDI QIDQ4468543FDOQ4468543

Authors: Nils Lid Hjort, Gerda Claeskens 

Publication date: 10 June 2004

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

Full work available at URL: http://hdl.handle.net/10852/10306

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zbMATH Keywords

logistic regressionempirical Bayeslikelihood inferencebias and variance balancegrowing modelsmodel average estimatormodel information criteriamoderate misspecification

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Foundations and philosophical topics in statistics (62A01) Parametric tolerance and confidence regions (62F25) Empirical decision procedures; empirical Bayes procedures (62C12)

Cited In (only showing first 100 items - show all)

• Generalized Least Squares Model Averaging
• Model averaging for M-estimation
• Statistical inference in dynamic panel data models
• A semiparametric generalized ridge estimator and link with model averaging
• Model averaging for asymptotically optimal combined forecasts
• Model averaging assisted sufficient dimension reduction
• Structural Inference in Transition Measurement Error Models for Longitudinal Data
• Forecasting seasonal time series data: a Bayesian model averaging approach
• A general framework for frequentist model averaging
• The focussed information criterion for generalised linear regression models for time series
• Model averaging for multivariate multiple regression models
• Model selection and model averaging for semiparametric partially linear models with missing data
• Confidence intervals centred on bootstrap smoothed estimators
• Interval estimation by frequentist model averaging
• Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
• Inference after model averaging in linear regression models
• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
• Stable prediction in high-dimensional linear models
• Quantile regression under local misspecification
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Shrinkage for categorical regressors
• Estimating the historical and future probabilities of large terrorist events
• Discussion of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard
• Detecting mortality deceleration: likelihood inference and model selection in the gamma-Gompertz model
• Complete subset averaging approach for high-dimensional generalized linear models
• Two sources of poor coverage of confidence intervals after model selection
• On the quantification of model uncertainty: a Bayesian perspective
• Model averaging based on leave-subject-out cross-validation
• Model averaging procedure for varying-coefficient partially linear models with missing responses
• Detection of influential points as a byproduct of resampling-based variable selection procedures
• Data-driven algorithms for dimension reduction in causal inference
• Variable selection In regression models using global sensitivity analysis
• The optimal selection for restricted linear models with average estimator
• Optimal model averaging estimation for correlation structure in generalized estimating equations
• An improved model averaging scheme for logistic regression
• A note on misspecification in joint modeling of correlated data with informative cluster sizes
• Model uncertainty first, not afterwards
• On the dominance of Mallows model averaging estimator over ordinary least squares estimator
• Valid post-selection inference in model-free linear regression
• A class of model averaging estimators
• Model averaging for linear models with responses missing at random
• Joint inference based on Stein-type averaging estimators in the linear regression model
• Optimal designs for model averaging in non-nested models
• Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions
• Frequentist model averaging for threshold models
• On properties of predictors derived with a two-step bootstrap model averaging approach -- a simulation study in the linear regression model
• Model-averaged confidence intervals
• The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models
• Transformation-based model averaged tail area inference
• Model averaging prediction for time series models with a diverging number of parameters
• Time-varying model averaging
• Optimal model averaging for multivariate regression models
• Rejoinder of ``Estimating the historical and future probabilities of large terrorist events by Aaron Clauset and Ryan Woodard
• Confidence distributions and related themes
• Least squares model averaging based on generalized cross validation
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Analyzing incomplete discrete longitudinal clinical trial data
• Model averaging procedure for partially linear single-index models
• Approximate Bayesian model selection with the deviance statistic
• Focused information criterion and model averaging for varying-coefficient partially linear models with longitudinal data
• On model selection and model misspecification in causal inference
• The focused information criterion for varying-coefficient partially linear measurement error models
• Model averaging, asymptotic risk, and regressor groups
• Quantitative magnetic resonance image analysis via the EM algorithm with stochastic variation
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Model averaging by jackknife criterion in models with dependent data
• Estimation of regression coefficients of interest when other regression coefficients are of no interest: the case of non-normal errors
• Complete subset regressions with large-dimensional sets of predictors
• Jackknife model averaging for quantile regressions
• Estimation and accuracy after model selection
• A focused information criterion for graphical models
• Bootstrapping and sample splitting for high-dimensional, assumption-lean inference
• Accounting for the threshold uncertainity in extreme value estimation
• Markov-switching model selection using Kullback-Leibler divergence
• Model averaging in semiparametric estimation of treatment effects
• Bayesian model averaging and exchange rate forecasts
• Using invalid instruments on purpose: focused moment selection and averaging for GMM
• Linear instrumental variables model averaging estimation
• Performance of Variable Selection Methods in Regression Using Variations of the Bayesian Information Criterion
• Forecasting in dynamic factor models using Bayesian model averaging
• Least squares model averaging by Mallows criterion
• MINIMIZING AVERAGE RISK IN REGRESSION MODELS
• Mixture model averaging for clustering
• Confidence intervals for high-dimensional partially linear single-index models
• Model averaging for semiparametric additive partial linear models
• Model averaging based on rank
• Focused model selection for linear mixed models with an application to whale ecology
• Goodness-of-fit and confidence intervals of approximate models
• Model selection and model averaging after multiple imputation
• Efficient shrinkage in parametric models
• Statistical estimation in the presence of possibly incorrect model assumptions
• Model averaging for semiparametric varying coefficient quantile regression models
• Shrinkage averaging estimation
• A general procedure to combine estimators
• Model averaging for varying-coefficient partially linear measurement error models
• Model uncertainty and model averaging in regression discontinuity designs
• Focused vector information criterion model selection and model averaging regression with missing response
• Improving Efficiency of Inferences in Randomized Clinical Trials Using Auxiliary Covariates
• A latent variable approach to study gene-environment interactions in the presence of multiple correlated exposures
• Estimating a difference of Kullback-Leibler risks using a normalized difference of AIC

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