Similar Search Results

Model averaging by jackknife criterion in models with dependent data

Zhang, Xinyu; Wan, Alan T.K.; Zou, Guohua - In: Journal of Econometrics 174 (2013) 2, pp. 82-94

The past decade witnessed a literature on model averaging by frequentist methods. For the most part, the asymptotic optimality of various existing frequentist model averaging estimators has been established under i.i.d. errors. Recently, Hansen and Racine [Hansen, B.E., Racine, J., 2012....

Persistent link: https://www.econbiz.de/10010664706

Ridge estimation for multinomial logit models with symmetric side constraints

Zahid, Faisal; Tutz, Gerhard - In: Computational Statistics 28 (2013) 3, pp. 1017-1034

In multinomial logit models, the identifiability of parameter estimates is typically obtained by side constraints that specify one of the response categories as reference category. When parameters are penalized, shrinkage of estimates should not depend on the reference category. In this paper we...

Persistent link: https://www.econbiz.de/10010847539

Estimation and model selection in a class of semiparametric models for cluster data

Sun, Yan; Li, Jialiang; Zhang, Wenyang - In: Annals of the Institute of Statistical Mathematics 64 (2012) 4, pp. 835-856

Persistent link: https://www.econbiz.de/10010848627

Resampling-based information criteria for best-subset regression

Reiss, Philip; Huang, Lei; Cavanaugh, Joseph; Roy, Amy - In: Annals of the Institute of Statistical Mathematics 64 (2012) 6, pp. 1161-1186

When a linear model is chosen by searching for the best subset among a set of candidate predictors, a fixed penalty such as that imposed by the Akaike information criterion may penalize model complexity inadequately, leading to biased model selection. We study resampling-based information...

Persistent link: https://www.econbiz.de/10010848649

On robust classification using projection depth

Dutta, Subhajit; Ghosh, Anil - In: Annals of the Institute of Statistical Mathematics 64 (2012) 3, pp. 657-676

Persistent link: https://www.econbiz.de/10010848674

SCAD-penalized regression in additive partially linear proportional hazards models with an ultra-high-dimensional linear part

Lian, Heng; Li, Jianbo; Tang, Xingyu - In: Journal of Multivariate Analysis 125 (2014) C, pp. 50-64

We consider the problem of simultaneous variable selection and estimation in additive partially linear Cox’s proportional hazards models with high-dimensional or ultra-high-dimensional covariates in the linear part. Under the sparse model assumption, we apply the smoothly clipped absolute...

Persistent link: https://www.econbiz.de/10010743754

On subset selection in non-parametric stochastic regression

Yao, Qiwei; Tong, Howell - London School of Economics (LSE) - 1994

This paper is concerned with the use of a cross-validation method based on the kernel estimate of the conditional mean for the subset selection of stochastic regressors within the framework of non-linear stochastic regression. Under the assumption that the observations are strictly stationary...

Persistent link: https://www.econbiz.de/10010745153

Wind power forecasting using the k-nearest neighbors algorithm

Mangalova, E.; Agafonov, E. - In: International Journal of Forecasting 30 (2014) 2, pp. 402-406

The paper deals with a modeling procedure which aims to predict the power output of wind farm electricity generators. The following modeling steps are proposed: factor selection, raw data pretreatment, model evaluation and optimization. Both heuristic and formal methods are combined to construct...

Persistent link: https://www.econbiz.de/10010753455

An unbiased model comparison test using cross-validation

Desmarais, Bruce; Harden, Jeffrey - In: Quality & Quantity: International Journal of Methodology 48 (2014) 4, pp. 2155-2173

Social scientists often consider multiple empirical models of the same process. When these models are parametric and non-nested, the null hypothesis that two models fit the data equally well is commonly tested using methods introduced by Vuong (Econometrica 57(2):307–333, <CitationRef CitationID="CR30">1989</CitationRef>) and Clarke (Am...</citationref>

Persistent link: https://www.econbiz.de/10010993080

Model-free model-fitting and predictive distributions

Politis, Dimitris - In: TEST: An Official Journal of the Spanish Society of … 22 (2013) 2, pp. 183-221

The problem of prediction is revisited with a view towards going beyond the typical nonparametric setting and reaching … principle of model-free prediction is laid out based on the notion of transforming a given setup into one that is easier to work …-free prediction in regression is a totally automatic technique that does not necessitate the search for an optimal data transformation …

Persistent link: https://www.econbiz.de/10010994256