Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
type: Item
instance of: scholarly article
title: Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
zbMATH Open document ID: 1400.62148
author: Tian Xie
published in: Economics Letters
publication date: 2018-09-11T00:00:00Z
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6934749
zbMATH Keywords: model screening
zbMATH Keywords: model averaging
zbMATH Keywords: big data analytics
zbMATH Keywords: heteroscedasticity-robust model screening (HRMS)
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.12.019
OpenAlex ID: W2566893818
cites work: Q4769776
cites work: Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
cites work: Least Squares Model Averaging
cites work: Jackknife model averaging
cites work: Optimal Weight Choice for Frequentist Model Average Estimators
cites work: Heteroscedasticity‐robustCpmodel averaging
cites work: Least squares model averaging by Mallows criterion
cites work: Prediction model averaging estimator
cites work: Combining Linear Regression Models
cites work: Model averaging with averaging covariance matrix
DOI: 10.1016/J.ECONLET.2016.12.019
description: scientific article; zbMATH DE number 6934749