A model-averaging approach for high-dimensional regression

DOI10.1080/01621459.2013.838168zbMATH Open1367.62209OpenAlexW2108443364MaRDI QIDQ4975348FDOQ4975348

Authors: Tomohiro Ando, Ker-Chau Li 

Publication date: 4 August 2017

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

Full work available at URL: https://doi.org/10.1080/01621459.2013.838168

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zbMATH Keywords

asymptotic optimalityhigh-dimensional regression modelsmodel weights

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Cited In (94)

• A model-averaging method for high-dimensional regression with missing responses at random
• MODEL OF MODELS: A NEW PERSPECTIVE TO DEAL WITH MODEL UNCERTAINTY
• A weight-relaxed model averaging approach for high-dimensional generalized linear models
• Model averaging for asymptotically optimal combined forecasts
• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Model averaging assisted sufficient dimension reduction
• On sparse ensemble methods: an application to short-term predictions of the evolution of COVID-19
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• Jackknife model averaging prediction methods for complex phenotypes with gene expression levels by integrating external pathway information
• Mallows model averaging estimation for linear regression model with right censored data
• Optimal model averaging estimator for semi-functional partially linear models
• Rank-Based Greedy Model Averaging for High-Dimensional Survival Data
• A model averaging approach for the ordered probit and nested logit models with applications
• Model aggregation for doubly divided data with large size and large dimension
• Spatial weights matrix selection and model averaging for spatial autoregressive models
• A component Lasso
• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
• Frequentist model averaging for envelope models
• Stable prediction in high-dimensional linear models
• Optimal model averaging estimator for multinomial logit models
• Model averaging for generalized linear models with missing at random covariates
• A new study on asymptotic optimality of least squares model averaging
• Toward optimal model averaging in regression models with time series errors
• Complete subset averaging approach for high-dimensional generalized linear models
• Average estimation of semiparametric models for high-dimensional longitudinal data
• Model averaging in a multiplicative heteroscedastic model
• A robust model averaging approach for partially linear models with responses missing at random
• Model averaging for interval-valued data
• Mallows model averaging with effective model size in fragmentary data prediction
• On the least-squares model averaging interval estimator
• Model averaging based on leave-subject-out cross-validation
• Frequentist model averaging under inequality constraints
• Sequential model averaging for high dimensional linear regression models
• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
• Estimation of high-dimensional seemingly unrelated regression models
• Stable feature screening for ultrahigh dimensional data
• Title not available (Why is that?)
• On the sensitivity of the Lasso to the number of predictor variables
• Penalized time-varying model averaging
• Semiparametric model averaging prediction for dichotomous response
• Model averaging with high-dimensional dependent data
• Model averaging for generalized linear models in fragmentary data prediction
• Detecting financial data dependence structure by averaging mixture copulas
• A Model Selection Criterion for High-Dimensional Linear Regression
• On improvability of model selection by model averaging
• Model averaging marginal regression for high dimensional conditional quantile prediction
• Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing
• Model average for high-dimensional longitudinal data
• Model averaging prediction for time series models with a diverging number of parameters
• Time-varying model averaging
• Model averaging for multiple quantile regression with covariates missing at random
• Frequentist Model Averaging for the Nonparametric Additive Model
• Weighted-average least squares estimation of generalized linear models
• Detangling robustness in high dimensions: composite versus model-averaged estimation
• Least squares model averaging for two non-nested linear models
• Corrected Mallows criterion for model averaging
• Parsimonious Model Averaging With a Diverging Number of Parameters
• Model averaging with privacy-preserving
• COMPLETE SUBSET AVERAGING FOR QUANTILE REGRESSIONS
• Optimal Model Averaging Based on Generalized Method of Moments
• Semiparametric model averaging for ultrahigh-dimensional conditional quantile prediction
• High-dimensional model averaging for quantile regression
• Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
• Model averaging for right censored data with measurement error
• Model averaging estimation for nonparametric varying-coefficient models with multiplicative heteroscedasticity
• Optimal model averaging for divergent-dimensional Poisson regressions
• Kernel Averaging Estimators
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
• Model averaging prediction by \(K\)-fold cross-validation
• Jackknife model averaging for composite quantile regression
• Penalized Mallow’s model averaging
• Split Regularized Regression
• AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
• A Mallows-type model averaging estimator for ridge regression with randomly right censored data
• Jackknife model averaging for high‐dimensional quantile regression
• A model‐averaging treatment of multiple instruments in Poisson models with errors
• Semiparametric model averaging method for survival probability predictions of patients
• Optimal Integrating Learning for Split Questionnaire Design Type Data
• Martingale-residual-based greedy model averaging for high-dimensional current status data
• Predicting the multivariate zero-inflated counts: a novel model averaging method under Pearson loss
• Jackknife model averaging for mixed-data kernel-weighted spline quantile regressions
• A Scalable Frequentist Model Averaging Method
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
• Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
• Instrumental variable model average with applications in Mendelian randomization
• Time-varying forecast combination for factor-augmented regressions with smooth structural changes
• Frequentist Model Averaging for Undirected Gaussian Graphical Models
• Model averaging: a shrinkage perspective
• Jackknife model averaging for linear regression models with missing responses
• Segment regression model average with multiple threshold variables and multiple structural breaks
• Model Averaging for Prediction With Fragmentary Data
• Model averaging for generalized linear models in diverging model spaces with effective model size
• Model averaging estimation for generalized partially linear varying-coefficient models
• Model Averaging for Nonlinear Regression Models

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