Least Squares Model Averaging for Two Non-Nested Linear Models

This paper studies the least squares model averaging methods for two non-nested linear models. It is proved that the Mallows model averaging weight of the true model is root- n consistent. Then the authors develop a penalized Mallows criterion which ensures that the weight of the true model equals 1...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of systems science and complexity 2023-02, Vol.36 (1), p.412-432
Hauptverfasser:	Gao, Yan, Xie, Tianfa, Zou, Guohua
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic properties Complex Systems Control Least squares Mathematics Mathematics and Statistics Mathematics of Computing Operations Research/Decision Theory Statistics Systems Theory
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!