Model averaging for M-estimation

DOI10.1080/02331888.2018.1527842zbMATH Open1408.62124OpenAlexW2895301367MaRDI QIDQ4559360FDOQ4559360

Authors: Jiang Du, Zhongzhan Zhang, Tianfa Xie 

Publication date: 3 December 2018

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2018.1527842

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zbMATH Keywords

model selectionmodel uncertaintyfocused information criterionmodel averaging estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Estimating the dimension of a model
• Least angle regression. (With discussion)
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Robust Estimation of a Location Parameter
• Robust Statistics
• A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
• Title not available (Why is that?)
• On the asymptotics of constrained \(M\)-estimation
• Model Selection: An Integral Part of Inference
• Model Selection and Multimodel Inference
• Optimal weight choice for frequentist model average estimators
• Model Selection and Model Averaging
• PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS
• Estimation in a semiparametric model for longitudinal data with unspecified dependence structure
• Frequentist Model Average Estimators
• The Focused Information Criterion
• \(M\)-estimation of linear models with dependent errors
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Tail Behavior of Regression Estimators and their Breakdown Points
• Focused information criterion and model averaging for generalized additive partial linear models
• Frequentist model averaging with missing observations
• A Robust Version of Mallows's C p
• Robust Linear Model Selection by Cross-Validation
• An asymptotic theory for model selection inference in general semiparametric problems
• Local rank inference for varying coefficient models
• Nonconcave penalized M-estimation with a diverging number of parameters
• Model averaging for semiparametric additive partial linear models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Asymptotic behavior of M-estimators for the linear model
• Limiting behavior of \(M\)-estimators of regression coefficients in high dimensional linear models. I: Scale-dependent case. II: Scale-invariant case
• Frequentist model averaging estimation: a review
• Title not available (Why is that?)
• Weighted Wilcoxon‐Type Smoothly Clipped Absolute Deviation Method
• Focused information criterion and model averaging in quantile regression

Cited In (8)

• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Model weights for model choice and averaging
• The focused information criterion for logistic time series regression models under locally biased estimating functions
• The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
• Model averaging with averaging covariance matrix
• The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models
• Corrected Mallows criterion for model averaging
• Parsimonious Model Averaging With a Diverging Number of Parameters

Uses Software

• R
• wwcode

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