A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model

• Published in: Journal of the American Statistical Association Vol. 114; no. 526; pp. 882 - 892
• Main Authors: Zhu, Rong, Wan, Alan T. K., Zhang, Xinyu, Zou, Guohua
• Format: Journal Article
• Language: English
• Published: Alexandria Taylor & Francis 03.04.2019; Taylor & Francis Group, LLC; Taylor & Francis Ltd
• Subjects: Americans; Asymptotic optimality; Computer simulation; Criteria; Data analysis; Heteroscedasticity; Linear analysis; linear models; Mallows criterion; Model averaging; Prominence; Regression analysis; Simulation; Statistical methods; Statistics; Theory and Methods; Uncertainty; Varying-coefficient partially linear model; weight

In the last decade, significant theoretical advances have been made in the area of frequentist model averaging (FMA); however, the majority of this work has emphasized parametric model setups. This article considers FMA for the semiparametric varying-coefficient partially linear model (VCPLM), which...