Least squares model averaging by Mallows criterion

By Alan T. K. Wan, Xinyu Zhang, Guohua Zou. 2010

324 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/758a6b0b3711eef2de6c981d4ae07a465fe9d73a

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In Statistics and Probability

Citations in the corpus

Model averaging, asymptotic risk, and regressor groups (2014, background): “That is, (30) holds even if the groups have been improperly ordered.”
Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold (2012, background): “More recently, Hansen (2007, 2008) and Wan, Zhang, and Zou (2010) investigated the properties of a frequentist model average estimator based on the Mallows criterion in linear regression.”
Generalized Least Squares Model Averaging (2016, unknown): “The condition (8) of Wan et al. (2010) requires that the number of models, M , is small.”
Jackknife model averaging (2012, unknown): “There is also a rapidly-growing literature on frequentist methods for model averaging, including Buckland et al. (1997), Juditsky and Nemirovski (2000), Yang (2001, 2004), Hansen (2007), Goldenshluger (2009) and Wan et al. (2010).”
A Model-Averaging Approach for High-Dimensional Regression (2014, methodology): “…Raftery 1995; Raftery, Madigan, and Hoeting 1997; Hoeting et al. 1999; Fernandez, Ley, and Steel 2001), the Mallows Cp model averaging (Hansen 2007; Wan, Zhang, and Zou 2010; see also Mallows 1973), Bayesian model averaging using predictive measures (Eklund and Karlsson 2007), jackknife model…”
Distribution Theory of the Least Squares Averaging Estimator (2013, unknown): “Wan, Zhang, and Zou (2010) extend the asymptotic optimality of the Mallows model averaging estimator for continuous weights and a non-nested setup.”
Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series (2018, unknown): “…information criterion (AIC) and Bayesian information criterion (BIC) model averaging (Akaike 1979; Raftery, Madigan, and Hoeting 1997; Claeskens and Hjort 2008), the Mallows Cp model averaging (Hansen 2007; Wan, Zhang, and Zou 2010), and the jackknife model averaging (Hansen and Racine 2012).”
Model averaging by jackknife criterion in models with dependent data (2013, methodology): “(A.4) and (A.5) in Wan et al. (2010).”
Weighted‐Average Least Squares (WALS): A Survey (2016, methodology): “…introduced a likelihood-based local misspecification framework to analyze the asymptotic distribution of model-average estimators; Hansen (2007) and Wan et al. (2010) developed least-squares model-average estimators with weights selected by minimizing the Mallows criterion; and Liang et al. (2011)…”
Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models (2016, unknown): “From the proof of Theorem 1’ in Wan, Zhang, and Zou (2010), Theorem 1 is valid if the following holds: sup w∈W |KL(w) − KL∗(w)| KL∗(w) = op(1) (A.4) and sup w∈W |G̃(w) − KL∗(w)| KL∗(w) = op(1).”
Jackknife model averaging for quantile regressions (2015, unknown): “Wan et al. (2010) extend Hansen’s MMA estimator to allow for non-nested model and selection of continuous weights in a unit simplex.”