Least squares model averaging based on generalized cross validation

DOI10.1007/s10255-021-1024-xzbMath1471.62419OpenAlexW3188154469MaRDI QIDQ2046232

Xinyu Zhang, Xin Min Li, Shang-Wei Zhao, Guo Hua Zou

Publication date: 17 August 2021

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-021-1024-x

zbMATH Keywords

generalized cross validationasymptotic optimalityMallows criterionfrequentist model averaging

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Ridge regression; shrinkage estimators (Lasso) (62J07)

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Robust Model Averaging Method Based on LOF Algorithm

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