MINIMIZING AVERAGE RISK IN REGRESSION MODELS

DOI10.1017/S0266466608080201zbMath1284.62454MaRDI QIDQ3632387

Nils Lid Hjort, Gerda Claeskens

Publication date: 11 June 2009

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to biology and medical sciences; meta analysis (62P10) Generalized linear models (logistic models) (62J12)

Related Items

Model averaging based on rank, ORDER SELECTION IN ARMA MODELS USING THE FOCUSED INFORMATION CRITERION, Using invalid instruments on purpose: focused moment selection and averaging for GMM, A uniform framework for the combination of penalties in generalized structured models, Focused model selection for linear mixed models with an application to whale ecology, Frequentist model averaging with missing observations, A High‐dimensional Focused Information Criterion, Imputation and post-selection inference in models with missing data: an application to colorectal cancer surveillance guidelines, A focused information criterion for graphical models, COMBINING ESTIMATES OF CONDITIONAL TREATMENT EFFECTS

Cites Work

• On predictive least squares principles
• Estimating the dimension of a model
• Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
• Bayesian Estimation and Prediction Using Asymmetric Loss Functions
• A Robust Version of Mallows's C p
• Frequentist Model Average Estimators
• The Focused Information Criterion
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Some Comments on C P
• An Asymtotic Theory of Bayesian Inference for Time Series
• A new look at the statistical model identification