Cross-Validation Model Averaging for Generalized Functional Linear Model
被引:10
作者:
Zhang, Haili
论文数: 0引用数: 0
h-index: 0
机构:
Univ Chinese Acad Sci, Beijing 100049, Peoples R China
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaUniv Chinese Acad Sci, Beijing 100049, Peoples R China
Zhang, Haili
[1
,2
]
Zou, Guohua
论文数: 0引用数: 0
h-index: 0
机构:
Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R ChinaUniv Chinese Acad Sci, Beijing 100049, Peoples R China
Zou, Guohua
[3
]
机构:
[1] Univ Chinese Acad Sci, Beijing 100049, Peoples R China
[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
[3] Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China
generalized functional linear model;
cross-validation;
model averaging;
asymptotic optimality;
FOCUSED INFORMATION CRITERION;
CENTRAL LIMIT-THEOREM;
ASYMPTOTIC OPTIMALITY;
SELECTION;
CONSISTENCY;
REGRESSION;
CL;
D O I:
10.3390/econometrics8010007
中图分类号:
F [经济];
学科分类号:
02 ;
摘要:
Functional data is a common and important type in econometrics and has been easier and easier to collect in the big data era. To improve estimation accuracy and reduce forecast risks with functional data, in this paper, we propose a novel cross-validation model averaging method for generalized functional linear model where the scalar response variable is related to a random function predictor by a link function. We establish asymptotic theoretical result on the optimality of the weights selected by our method when the true model is not in the candidate model set. Our simulations show that the proposed method often performs better than the commonly used model selection and averaging methods. We also apply the proposed method to Beijing second-hand house price data.
机构:
Univ Melbourne, Melbourne Business Sch, Carlton, Vic 3053, AustraliaUniv Melbourne, Melbourne Business Sch, Carlton, Vic 3053, Australia
Ando, Tomohiro
;
Li, Ker-Chau
论文数: 0引用数: 0
h-index: 0
机构:
Univ Calif Los Angeles, Dept Stat, Los Angeles, CA 90095 USA
Acad Sinica, Inst Stat Sci, Taipei 11529, TaiwanUniv Melbourne, Melbourne Business Sch, Carlton, Vic 3053, Australia
机构:
Keio Univ, Grad Sch Business Adm, Kanagawa, JapanKeio Univ, Grad Sch Business Adm, Kanagawa, Japan
Ando, Tomohiro
;
Li, Ker-Chau
论文数: 0引用数: 0
h-index: 0
机构:
Acad Sinica, Inst Stat Sci, Taipei, Taiwan
Univ Calif Los Angeles, Dept Stat, Los Angeles, CA 90095 USAKeio Univ, Grad Sch Business Adm, Kanagawa, Japan
机构:
Minzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Gao, Yan
;
Zhang, Xinyu
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Zhang, Xinyu
;
Wang, Shouyang
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Wang, Shouyang
;
Zou, Guohua
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
机构:
Univ Melbourne, Melbourne Business Sch, Carlton, Vic 3053, AustraliaUniv Melbourne, Melbourne Business Sch, Carlton, Vic 3053, Australia
Ando, Tomohiro
;
Li, Ker-Chau
论文数: 0引用数: 0
h-index: 0
机构:
Univ Calif Los Angeles, Dept Stat, Los Angeles, CA 90095 USA
Acad Sinica, Inst Stat Sci, Taipei 11529, TaiwanUniv Melbourne, Melbourne Business Sch, Carlton, Vic 3053, Australia
机构:
Keio Univ, Grad Sch Business Adm, Kanagawa, JapanKeio Univ, Grad Sch Business Adm, Kanagawa, Japan
Ando, Tomohiro
;
Li, Ker-Chau
论文数: 0引用数: 0
h-index: 0
机构:
Acad Sinica, Inst Stat Sci, Taipei, Taiwan
Univ Calif Los Angeles, Dept Stat, Los Angeles, CA 90095 USAKeio Univ, Grad Sch Business Adm, Kanagawa, Japan
机构:
Minzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Gao, Yan
;
Zhang, Xinyu
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Zhang, Xinyu
;
Wang, Shouyang
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China
Wang, Shouyang
;
Zou, Guohua
论文数: 0引用数: 0
h-index: 0
机构:
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R ChinaMinzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China