Model Averaging Estimation for Varying-Coefficient Single-Index Models

doi:10.1007/s11424-021-0158-5

	Model Averaging Estimation for Varying-Coefficient Single-Index Models
	Liu, Yue 5; Zou, Jiahui 1,4; Zhao, Shangwei 3; Yang, Qinglong 2
刊名	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
	2021-04-05
页码	19
关键词	Asymptotic optimality kernel-local smoothing method Mallows-type criterion model averaging varying-coefficient single-index model
ISSN号	1009-6124
DOI	10.1007/s11424-021-0158-5
英文摘要	The varying-coefficient single-index model (VCSIM) is widely used in economics, statistics and biology. A model averaging method for VCSIM based on a Mallows-type criterion is proposed to improve prodictive capacity, which allows the number of candidate models to diverge with sample size. Under model misspecification, the asymptotic optimality is derived in the sense of achieving the lowest possible squared errors. The authors compare the proposed model averaging method with several other classical model selection methods by simulations and the corresponding results show that the model averaging estimation has a outstanding performance. The authors also apply the method to a real dataset.
资助项目	National Nature Science Foundation of China[12001559] ; National Nature Science Foundation of China[11971324] ; Ministry of Education of Humanities and Social Science project[19YJC910008]
WOS研究方向	Mathematics
语种	英语
出版者	SPRINGER HEIDELBERG
WOS记录号	WOS:000636951200001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58435]
专题	中国科学院数学与系统科学研究院
通讯作者	Zou, Jiahui
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Zhongnan Univ Econ & Law, Sch Math & Stat, Wuhan 430073, Peoples R China 3.Minzu Univ China, Sch Sci, Beijing 100081, Peoples R China 4.Univ Chinese Acad Sci, Sch Math Sci, Beijing 100049, Peoples R China 5.Jiangxi Univ Finance & Econ, Sch Stat, Nanchang 330013, Jiangxi, Peoples R China
推荐引用方式 GB/T 7714	Liu, Yue,Zou, Jiahui,Zhao, Shangwei,et al. Model Averaging Estimation for Varying-Coefficient Single-Index Models[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2021:19.
APA	Liu, Yue,Zou, Jiahui,Zhao, Shangwei,&Yang, Qinglong.(2021).Model Averaging Estimation for Varying-Coefficient Single-Index Models.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,19.
MLA	Liu, Yue,et al."Model Averaging Estimation for Varying-Coefficient Single-Index Models".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2021):19.