Yu, Wei; Xu, Wangli; Zhu, Lixing - In: Computational Statistics 29 (2014) 6, pp. 1713-1726
In parameter estimation, it is not a good choice to select a “best model” by some criterion when there is model uncertainty. Model averaging is commonly used under this circumstance. In this paper, transformation-based model averaged tail area is proposed to construct confidence interval,...