Consistency of model averaging estimators

Zhang Xinyu

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Consistency of model averaging estimators

机译：模型平均估计量的一致性

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摘要

Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging estimators remain root-n consistent. This result provides a new theoretical basis for the use of model averaging estimators. (C) 2015 Elsevier B.V. All rights reserved.

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来源
《Economics letters》 |2015年第5期|120-123|共4页
作者
Zhang Xinyu;
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作者单位

Capital Univ Econ & Business, Int Sch Econ & Management, Beijing 100070, Peoples R China|Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Consistency; Jackknife model averaging; Mallows model averaging; Smoothed AIC; Smoothed BIC;

机译：一致性;刀切模型平均;Mallows模型平均;平滑的AIC;平滑的BIC;

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5. Improving the Consistency of Nonlinear Estimators: Analysis, Algorithms, and Applications. [D] . Huang, Guoquan. 2013

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6. No theory: an explanation of the lack of consistency in cross-country health care comparisons using non-parametric estimators [O] . Richard Gearhart 2016

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7. Consistency of the Least Squares Estimator of the First Order Moving Average Parameter [O] . Brian D. Macpherson, Wayne A. Fuller 1983

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Consistency of model averaging estimators

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