Model averaging estimator in ridge regression and its large sample properties

DOI10.1007/s00362-018-1002-4zbMath1461.62127OpenAlexW2800042983WikidataQ129976476 ScholiaQ129976476MaRDI QIDQ2029204

Jun Liao, Dalei Yu, Shang-Wei Zhao

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1002-4

zbMATH Keywords

consistencyheteroscedasticityridge regressionasymptotic optimalitymodel averaging

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (1)

Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing

Uses Software

• AS 223

Cites Work

• Frequentist model averaging for linear mixed-effects models
• Model averaging procedure for partially linear single-index models
• Frequentist model averaging estimation: a review
• Consistency of model averaging estimators
• Least squares model averaging by Mallows criterion
• Jackknife model averaging
• An improved model averaging scheme for logistic regression
• Shrinkage averaging estimation
• Jackknife model averaging for quantile regressions
• Focused information criterion and model averaging for generalized additive partial linear models
• Model averaging by jackknife criterion in models with dependent data
• Frequentist model averaging with missing observations
• Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
• Model averaging based on Kullback-Leibler distance
• Information Theory and Mixing Least-Squares Regressions
• A procedure for determination of a good ridge parameter in linear regression
• Generalized Cross-Validation as a Method for Choosing a Good Ridge Parameter
• A Simulation Study of Alternatives to Ordinary Least Squares
• Model Selection: An Integral Part of Inference
• Algorithm AS 223: Optimum Ridge Parameter Selection
• Heteroscedasticity‐robustCpmodel averaging
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Model averaging and weight choice in linear mixed-effects models
• Least Squares Model Averaging
• Ridge Regression: Biased Estimation for Nonorthogonal Problems
• Linear Statistical Inference and its Applications
• Combining Linear Regression Models
• Model averaging based on leave-subject-out cross-validation

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