This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...

The focused information criterion for model selection is constructed to select the model that best estimates a particular quantity of interest, the focus, in terms of mean squared error. We extend this focused selection process to the high-dimensional regression setting with potentially a larger...

We study partially linear single-index models where both model parts may contain highdimensional variables. While the single-index part is of fixed dimension, the dimension of the linear part is allowed to grow with the sample size. Due to the addition of penalty terms to the loss function in...

This paper offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...

This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...

Frailty models account for the clustering present in grouped event time data. A proportional hazards model with shared frailties expresses the hazard for each subject. Often a one-parameter gamma distribution is assumed for the frailties. In this paper we construct formal goodness-of-fit tests...