Optimal model averaging estimator for multinomial logit models

DOI10.1080/24754269.2022.2037204MaRDI QIDQ5880132zbMATH OpenOpenAlexFDO

Authors Rongjie Jiang, Liming Wang, Yang Bai

Publication date 7 March 2023

Published in Statistical Theory and Related Fields (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1080/24754269.2022.2037204

zbMATH Keywords

model averagingasymptotically optimalKullback-Leibler lossmultinomial logit model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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• Some Comments on C P
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Cited in

(4)

• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Frequentist model averaging in the generalized multinomial logit model
• Approximate inference for the multinomial logit model
• Estimation of spatial-functional based-line logit model for multivariate longitudinal data

Describes a project that uses

Uses Software

• Fahrmeir
• glmnet

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