Model averaging is a good alternative to model selection,which can deal with the uncertainty from model selection process and make full use of the information from various candidate models.However,most of the existing...Model averaging is a good alternative to model selection,which can deal with the uncertainty from model selection process and make full use of the information from various candidate models.However,most of the existing model averaging criteria do not consider the influence of outliers on the estimation procedures.The purpose of this paper is to develop a robust model averaging approach based on the local outlier factor(LOF)algorithm which can downweight the outliers in the covariates.Asymptotic optimality of the proposed robust model averaging estimator is derived under some regularity conditions.Further,we prove the consistency of the LOF-based weight estimator tending to the theoretically optimal weight vector.Numerical studies including Monte Carlo simulations and a real data example are provided to illustrate our proposed methodology.展开更多
Linear mixed-effects models are a powerful tool for the analysis of longitudinal data. The aim of this paper is to study model averaging for linear mixed-effects models. The asymptotic distribution of the frequentist ...Linear mixed-effects models are a powerful tool for the analysis of longitudinal data. The aim of this paper is to study model averaging for linear mixed-effects models. The asymptotic distribution of the frequentist model average estimator is derived, and a confidence interval procedure with an actual coverage probability that tends to the nominal level in large samples is developed. The two confidence intervals based on the model averaging and based on the full model are shown to be asymptotically equivalent. A simulation study shows good finite sample performance of the model average estimators.展开更多
基金supported by the National Natural Science Foundation of China (Grant Nos.11971323,12031016).
文摘Model averaging is a good alternative to model selection,which can deal with the uncertainty from model selection process and make full use of the information from various candidate models.However,most of the existing model averaging criteria do not consider the influence of outliers on the estimation procedures.The purpose of this paper is to develop a robust model averaging approach based on the local outlier factor(LOF)algorithm which can downweight the outliers in the covariates.Asymptotic optimality of the proposed robust model averaging estimator is derived under some regularity conditions.Further,we prove the consistency of the LOF-based weight estimator tending to the theoretically optimal weight vector.Numerical studies including Monte Carlo simulations and a real data example are provided to illustrate our proposed methodology.
文摘Linear mixed-effects models are a powerful tool for the analysis of longitudinal data. The aim of this paper is to study model averaging for linear mixed-effects models. The asymptotic distribution of the frequentist model average estimator is derived, and a confidence interval procedure with an actual coverage probability that tends to the nominal level in large samples is developed. The two confidence intervals based on the model averaging and based on the full model are shown to be asymptotically equivalent. A simulation study shows good finite sample performance of the model average estimators.
