Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models | |
Zhang, Xinyu1,2![]() | |
刊名 | JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
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2016-12-01 | |
卷号 | 111期号:516页码:1775-1790 |
关键词 | Asymptotic optimality Kullback-Leibler loss Misspecification Penalized generalized weighted least squares (PGWLS) Prediction accuracy |
ISSN号 | 0162-1459 |
DOI | 10.1080/01621459.2015.1115762 |
英文摘要 | Considering model averaging estimation in generalized linear models, we propose a weight choice criterion based on the Kullback-Leibler (KL) loss with a penalty term. This criterion is different from that for continuous observations in principle, but reduces to the Mallows criterion in the situation. We prove that the corresponding model averaging estimator is asymptotically optimal under certain assumptions. We further extend our concern to the generalized linear mixed-effects model framework and establish associated theory. Numerical experiments illustrate that the proposed method is promising. |
资助项目 | National Natural Science Foundation of China (NNSFC)[71522004] ; National Natural Science Foundation of China (NNSFC)[11471324] ; National Natural Science Foundation of China (NNSFC)[11271355] ; NNSFC[11301463] ; NNSFC[11331011] ; Beijing High-level Talents Program ; NSF by National Natural Science Foundation of China[DMS-1440121] ; NSF by National Natural Science Foundation of China[DMS-1418042] ; NSF by National Natural Science Foundation of China[11529101] |
WOS研究方向 | Mathematics |
语种 | 英语 |
出版者 | AMER STATISTICAL ASSOC |
WOS记录号 | WOS:000391900700044 |
内容类型 | 期刊论文 |
源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/24583] ![]() |
专题 | 系统科学研究所 |
通讯作者 | Liang, Hua |
作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Sch Math Sci, Beijing, Peoples R China 3.Yunnan Univ Finance & Econ, Stat & Math Coll, Kunming, Peoples R China 4.Geoge Washington Univ, Dept Stat, Washington, DC USA |
推荐引用方式 GB/T 7714 | Zhang, Xinyu,Yu, Dalei,Zou, Guohua,et al. Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2016,111(516):1775-1790. |
APA | Zhang, Xinyu,Yu, Dalei,Zou, Guohua,&Liang, Hua.(2016).Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,111(516),1775-1790. |
MLA | Zhang, Xinyu,et al."Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 111.516(2016):1775-1790. |
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