IDEAS home Printed from https://ideas.repec.org/r/bes/jnlasa/v96y2001mjunep574-588.html
   My bibliography  Save this item

Adaptive Regression by Mixing

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Zou, Guohua, 2016. "Model averaging based on leave-subject-out cross-validation," Journal of Econometrics, Elsevier, vol. 192(1), pages 139-151.
  2. Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
  3. Smith, Aaron & Naik, Prasad A. & Tsai, Chih-Ling, 2006. "Markov-switching model selection using Kullback-Leibler divergence," Journal of Econometrics, Elsevier, vol. 134(2), pages 553-577, October.
  4. Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
  5. Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
  6. Miaomiao Wang & Xinyu Zhang & Alan T. K. Wan & Kang You & Guohua Zou, 2023. "Jackknife model averaging for high‐dimensional quantile regression," Biometrics, The International Biometric Society, vol. 79(1), pages 178-189, March.
  7. Liu, Chu-An, 2012. "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper 41414, University Library of Munich, Germany.
  8. Chih-Ling Tsai & Hansheng Wang & Ning Zhu, 2010. "Does a Bayesian approach generate robust forecasts? Evidence from applications in portfolio investment decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(1), pages 109-116, February.
  9. Chenglong Ye & Lin Zhang & Mingxuan Han & Yanjia Yu & Bingxin Zhao & Yuhong Yang, 2022. "Combining Predictions of Auto Insurance Claims," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
  10. Tao Huang & Jialiang Li, 2018. "Semiparametric model average prediction in panel data analysis," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 30(1), pages 125-144, January.
  11. Yan Gao & Xinyu Zhang & Shouyang Wang & Terence Tai-leung Chong & Guohua Zou, 2019. "Frequentist model averaging for threshold models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 275-306, April.
  12. Gerda Claeskens, 2012. "Focused estimation and model averaging with penalization methods: an overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 66(3), pages 272-287, August.
  13. Uniejewski, Bartosz & Maciejowska, Katarzyna, 2023. "LASSO principal component averaging: A fully automated approach for point forecast pooling," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1839-1852.
  14. Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
  15. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
  16. Wan, Alan T.K. & Zhang, Xinyu & Zou, Guohua, 2010. "Least squares model averaging by Mallows criterion," Journal of Econometrics, Elsevier, vol. 156(2), pages 277-283, June.
  17. Zhang, Yongli & Yang, Yuhong, 2015. "Cross-validation for selecting a model selection procedure," Journal of Econometrics, Elsevier, vol. 187(1), pages 95-112.
  18. Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
  19. Christopher F. Parmeter & Alan T. K. Wan & Xinyu Zhang, 2019. "Model averaging estimators for the stochastic frontier model," Journal of Productivity Analysis, Springer, vol. 51(2), pages 91-103, June.
  20. Wei, Xiaoqiao & Yang, Yuhong, 2012. "Robust forecast combinations," Journal of Econometrics, Elsevier, vol. 166(2), pages 224-236.
  21. Zou, Hui & Yang, Yuhong, 2004. "Combining time series models for forecasting," International Journal of Forecasting, Elsevier, vol. 20(1), pages 69-84.
  22. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2015. "On the Forecast Combination Puzzle," Papers 1505.00475, arXiv.org.
  23. Faguang Wen & Jiming Jiang & Yihui Luan, 2024. "Model Selection Path and Construction of Model Confidence Set under High-Dimensional Variables," Mathematics, MDPI, vol. 12(5), pages 1-21, February.
  24. Zhang, Feng, 2007. "An application of vector GARCH model in semiconductor demand planning," European Journal of Operational Research, Elsevier, vol. 181(1), pages 288-297, August.
  25. Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
  26. Zhimeng Sun & Zhi Su & Jingyi Ma, 2014. "Focused vector information criterion model selection and model averaging regression with missing response," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(3), pages 415-432, April.
  27. Peng, Jingfu & Yang, Yuhong, 2022. "On improvability of model selection by model averaging," Journal of Econometrics, Elsevier, vol. 229(2), pages 246-262.
  28. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem," Annals of Operations Research, Springer, vol. 334(1), pages 133-155, March.
  29. Hothorn, Torsten & Lausen, Berthold, 2005. "Bundling classifiers by bagging trees," Computational Statistics & Data Analysis, Elsevier, vol. 49(4), pages 1068-1078, June.
  30. Zheng Yuan & Debashis Ghosh, 2008. "Combining Multiple Biomarker Models in Logistic Regression," Biometrics, The International Biometric Society, vol. 64(2), pages 431-439, June.
  31. Aman Ullah & Alan T. K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou, 2017. "A semiparametric generalized ridge estimator and link with model averaging," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 370-384, March.
  32. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
  33. Hansen, Bruce E. & Racine, Jeffrey S., 2012. "Jackknife model averaging," Journal of Econometrics, Elsevier, vol. 167(1), pages 38-46.
  34. Xu Cheng & Zhipeng Liao & Ruoyao Shi, 2013. "Uniform Asymptotic Risk of Averaging GMM Estimator Robust to Misspecification, Second Version," PIER Working Paper Archive 15-017, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Mar 2015.
  35. Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
  36. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
  37. Song Liu & Yuhong Yang, 2012. "Combining models in longitudinal data analysis," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(2), pages 233-254, April.
  38. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
  39. Aman Ullah & Huansha Wang, 2013. "Parametric and Nonparametric Frequentist Model Selection and Model Averaging," Econometrics, MDPI, vol. 1(2), pages 1-23, September.
  40. Piao Wang & Shahid Hussain Gurmani & Zhifu Tao & Jinpei Liu & Huayou Chen, 2024. "Interval time series forecasting: A systematic literature review," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(2), pages 249-285, March.
  41. Haili Zhang & Guohua Zou, 2020. "Cross-Validation Model Averaging for Generalized Functional Linear Model," Econometrics, MDPI, vol. 8(1), pages 1-35, February.
  42. Yuting Wei & Qihua Wang & Wei Liu, 2021. "Model averaging for linear models with responses missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 535-553, June.
  43. Xinyu Zhang & Alan T. K. Wan & Sherry Z. Zhou, 2011. "Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 132-142, June.
  44. Jialiang Li & Tonghui Yu & Jing Lv & Mei‐Ling Ting Lee, 2021. "Semiparametric model averaging prediction for lifetime data via hazards regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(5), pages 1187-1209, November.
  45. Fang, Fang & Yu, Zhou, 2020. "Model averaging assisted sufficient dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
  46. Giovanni Bonaccolto & Sandra Paterlini, 2020. "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, vol. 292(2), pages 933-971, September.
  47. Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
  48. Zishu Zhan & Yang Li & Yuhong Yang & Cunjie Lin, 2023. "Model averaging for semiparametric varying coefficient quantile regression models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(4), pages 649-681, August.
  49. Schomaker, Michael & Wan, Alan T.K. & Heumann, Christian, 2010. "Frequentist Model Averaging with missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3336-3347, December.
  50. Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui, 2015. "Toward optimal model averaging in regression models with time series errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 321-334.
  51. Ghosh, D. & Yuan, Z., 2009. "An improved model averaging scheme for logistic regression," Journal of Multivariate Analysis, Elsevier, vol. 100(8), pages 1670-1681, September.
  52. Xinyue Gu & Bo Li, 2020. "Cross‐estimation for decision selection," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(5), pages 932-958, September.
  53. Liao, Jun & Wan, Alan T.K. & He, Shuyuan & Zou, Guohua, 2022. "Optimal model averaging for multivariate regression models," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  54. Shangwei Zhao, 2014. "Model averaging based on James–Stein estimators," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 77(8), pages 1013-1022, November.
  55. Magnus, Jan R. & Wan, Alan T.K. & Zhang, Xinyu, 2011. "Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1331-1341, March.
  56. Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
  57. Pedro Henrique Melo Albuquerque & Yaohao Peng & João Pedro Fontoura da Silva, 2022. "Making the whole greater than the sum of its parts: A literature review of ensemble methods for financial time series forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1701-1724, December.
  58. Jie Ding & Vahid Tarokh & Yuhong Yang, 2018. "Model Selection Techniques -- An Overview," Papers 1810.09583, arXiv.org.
  59. Alena Skolkova, 2023. "Model Averaging with Ridge Regularization," CERGE-EI Working Papers wp758, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
  60. Wei, Yuting & Wang, Qihua, 2021. "Cross-validation-based model averaging in linear models with response missing at random," Statistics & Probability Letters, Elsevier, vol. 171(C).
  61. Sam Efromovich & Zibonele Valdez-Jasso, 2010. "Aggregated wavelet estimation and its application to ultra-fast fMRI," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 22(7), pages 841-857.
  62. Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
  63. Lan, Wei & Wang, Hansheng & Tsai, Chih-Ling, 2012. "A Bayesian information criterion for portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 56(1), pages 88-99, January.
  64. Tsay, Wen-Jen, 2021. "Estimating cartel damages with model averaging approaches," International Review of Law and Economics, Elsevier, vol. 68(C).
  65. Chen Zhuo & Yang Yuhong, 2007. "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(1), pages 1-37, March.
  66. Kira Alhorn & Holger Dette & Kirsten Schorning, 2021. "Optimal Designs for Model Averaging in non-nested Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 745-778, August.
  67. Wenjing Yang & Yuhong Yang, 2017. "Toward an objective and reproducible model choice via variable selection deviation," Biometrics, The International Biometric Society, vol. 73(1), pages 20-30, March.
  68. Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  69. Gospodinov, Nikolay & Maasoumi, Esfandiar, 2021. "Generalized aggregation of misspecified models: With an application to asset pricing," Journal of Econometrics, Elsevier, vol. 222(1), pages 451-467.
  70. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.