Institute of Mathematical Statistics Lecture Notes - Monograph Series

The distribution of model averaging estimators and an impossibility result regarding its estimation

Benedikt M. Pötscher

Full-text: Open access

Abstract

The finite-sample as well as the asymptotic distribution of Leung and Barron’s (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

Chapter information

Source
Hwai-Chung Ho, Ching-Kang Ing, Tze Leung Lai, eds., Time Series and Related Topics: In Memory of Ching-Zong Wei (Beachwood, Ohio, USA: Institute of Mathematical Statistics, 2006), 113-129

Dates
First available in Project Euclid: 28 November 2007

Permanent link to this document
https://projecteuclid.org/euclid.lnms/1196285969

Digital Object Identifier
doi:10.1214/074921706000000987

Zentralblatt MATH identifier
1268.62066

Subjects
Primary: 62F10: Point estimation 62F12: Asymptotic properties of estimators
Secondary: 62E15: Exact distribution theory 62J05: Linear regression 62J07: Ridge regression; shrinkage estimators

Keywords
model mixing model aggregation combination of estimators model selection finite sample distribution asymptotic distribution estimation of distribution

Rights
Copyright © 2006, Institute of Mathematical Statistics

Citation

Pötscher, Benedikt M. The distribution of model averaging estimators and an impossibility result regarding its estimation. Time Series and Related Topics, 113--129, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2006. doi:10.1214/074921706000000987. https://projecteuclid.org/euclid.lnms/1196285969


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