Optimal model averaging estimator for multinomial logit models

DOI10.1080/24754269.2022.2037204OpenAlexW4213002020MaRDI QIDQ5880132FDOQ5880132

Authors: Rongjie Jiang, Liming Wang, Yang Bai 

Publication date: 7 March 2023

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

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

• Estimating the dimension of a model
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• Jackknife model averaging for quantile regressions
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• Generalised information criteria in model selection
• Heteroscedasticity-robust \(C_p\) model averaging
• Least squares model averaging by Mallows criterion
• Least Squares Model Averaging
• Jackknife model averaging
• Toward optimal model averaging in regression models with time series errors
• Maximum likelihood identification of Gaussian autoregressive moving average models
• Model averaging by jackknife criterion in models with dependent data
• Frequentist model averaging estimation: a review
• A large-sample model selection criterion based on Kullback's symmetric divergence
• Model averaging based on Kullback-Leibler distance
• Spatial weights matrix selection and model averaging for spatial autoregressive models
• Inference after model averaging in linear regression models
• A model-averaging approach for high-dimensional regression
• Parsimonious Model Averaging With a Diverging Number of Parameters
• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
• Optimal model averaging of varying coefficient models
• Model averaging for multivariate multiple regression models
• Optimal model averaging estimation for partially linear models
• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Central limit theorem for weighted sum of multivariate random vector sequences

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

Uses Software

• glmnet
• Fahrmeir

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