Model Averaging Estimation for Sparse High-Dimensional Data

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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>
时间	2016-03-18(Friday)16:40-18:00	地点	D235, Econ Building
讲座语言	中文	主办单位	WISE & SOE
承办单位		类型	系列讲座
联系人信息		主持人
专题网站		专题
主讲人简介	<div>Associate Professor, Academy of Mathematics and Systems Science (AMSS), Chinese Academy of Sciences (CAS)&nbsp;</div> <div>&nbsp;</div> <div><a href="/Upload/File/2016/3/20160309044325733.doc"><u><strong><span style="color: rgb(0, 0, 255);">Prof. Xinyu Zhang's CV&nbsp;</span></strong></u></a></div> <div>&nbsp;</div>	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）

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