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主讲人 |
Xinyu Zhang |
简介 |
<p>Studying model averaging for high-dimensional models with possibly sparse relevant covariates, we suggest a criterion for choosing weights. The resulting model averaging estimators of coefficients have a sparsity property and are asymptotically normal under certain regularity conditions. Furthermore, the proposed procedure is asymptotically optimal in the sense that its squared loss and risk are asymptotically identical to those of the best but infeasible model averaging estimator. Simulation experiments provide numerical evidence of these results.</p> |
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主讲人简介 |
<div>Associate Professor, Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS) </div>
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<div><a href="/Upload/File/2016/3/20160309044325733.doc"><u><strong><span style="color: rgb(0, 0, 255);">Prof. Xinyu Zhang's CV </span></strong></u></a></div>
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期数 |
厦门大学高级计量经济学与统计学系列讲座2016春季学期第二讲（总第76讲） |
