Cross-Validation Model Averaging for Generalized Functional Linear Model
被引:9
作者:
Zhang, Haili
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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 Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R ChinaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
Wei, Yuting
Wang, Qihua
论文数: 0引用数: 0
h-index: 0
机构:
Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Zhejiang, Peoples R China
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
Wang, Qihua
Liu, Wei
论文数: 0引用数: 0
h-index: 0
机构:
York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, CanadaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hu, Guozhi
Cheng, Weihu
论文数: 0引用数: 0
h-index: 0
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Cheng, Weihu
Zeng, Jie
论文数: 0引用数: 0
h-index: 0
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
机构:
Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R ChinaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
Wei, Yuting
Wang, Qihua
论文数: 0引用数: 0
h-index: 0
机构:
Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Zhejiang, Peoples R China
Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R ChinaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
Wang, Qihua
Liu, Wei
论文数: 0引用数: 0
h-index: 0
机构:
York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, CanadaUniv Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hu, Guozhi
Cheng, Weihu
论文数: 0引用数: 0
h-index: 0
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Cheng, Weihu
Zeng, Jie
论文数: 0引用数: 0
h-index: 0
机构:
Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China
Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R ChinaBeijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China