Penalized jackknife model averaging

被引：0

作者：

Hu, Xiangyu ^{[1
]}

Huang, Mian ^{[1
]}

机构：

[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2025年

关键词：

ADMM; Asymptotic optimality; Model averaging; Non-convex penalty; Sparsity; ASYMPTOTIC OPTIMALITY; VARIABLE SELECTION;

D O I：

10.1080/03610918.2025.2464085

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we propose a novel penalized jackknife model averaging estimator and establish its asymptotic optimality. The proposed estimator achieves sparsity by introducing an additional penalty on the criterion function. An algorithm is developed to solve the constrained nonconvex minimization problem. We demonstrate the validity of our methods by conducting simulations and empirical studies and show that by attributing sparser weights our procedure has better out-of-sample performance and efficiency gains.

引用

页数：17

共 26 条

[1]

[Anonymous], 1960, Theory of Probability and Its Applications, DOI DOI 10.1137/1105028

[2] Distributed optimization and statistical learning via the alternating direction method of multipliers [J].

Boyd S. ;

Parikh N. ;

Chu E. ;

Peleato B. ;

Eckstein J. .

Foundations and Trends in Machine Learning, 2010, 3 (01) :1-122

[3] Predicting excess stock returns out of sample: Can anything beat the historical average? [J].

Campbell, John Y. ;

Thompson, Samuel B. .

REVIEW OF FINANCIAL STUDIES, 2008, 21 (04) :1509-1531

[4] On improvability of model averaging by penalized model selection [J].

Cao, Kun ;

Li, Xinmin ;

Zhou, Yali ;

Zou, Chenchen .

STAT, 2023, 12 (01)

[5] On the sparsity of Mallows model averaging estimator [J].

Feng, Yang ;

Liu, Qingfeng ;

Okui, Ryo .

ECONOMICS LETTERS, 2020, 187

[6] Bayesian Model Averaging: A Systematic Review and Conceptual Classification [J].

Fragoso, Tiago M. ;

Bertoli, Wesley ;

Louzada, Francisco .

INTERNATIONAL STATISTICAL REVIEW, 2018, 86 (01) :1-28

[7] Least squares model averaging [J].

Hansen, Bruce E. .

ECONOMETRICA, 2007, 75 (04) :1175-1189

[8] Jackknife model averaging [J].

Hansen, Bruce E. ;

Racine, Jeffrey S. .

JOURNAL OF ECONOMETRICS, 2012, 167 (01) :38-46

[9] Frequentist model average estimators [J].

Hjort, NL ;

Claeskens, G .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2003, 98 (464) :879-899

[10] ASYMPTOTIC OPTIMALITY FOR CP, CL, CROSS-VALIDATION AND GENERALIZED CROSS-VALIDATION - DISCRETE INDEX SET [J].

LI, KC .

ANNALS OF STATISTICS, 1987, 15 (03) :958-975

← 1 2 3 →