In regression, despite being both aimed at estimating the Mean Squared Prediction Error (MSPE), Akaike’s Final Prediction Error (FPE) and the Generalized Cross Validation (GCV) selection criteria are usually derived ...In regression, despite being both aimed at estimating the Mean Squared Prediction Error (MSPE), Akaike’s Final Prediction Error (FPE) and the Generalized Cross Validation (GCV) selection criteria are usually derived from two quite different perspectives. Here, settling on the most commonly accepted definition of the MSPE as the expectation of the squared prediction error loss, we provide theoretical expressions for it, valid for any linear model (LM) fitter, be it under random or non random designs. Specializing these MSPE expressions for each of them, we are able to derive closed formulas of the MSPE for some of the most popular LM fitters: Ordinary Least Squares (OLS), with or without a full column rank design matrix;Ordinary and Generalized Ridge regression, the latter embedding smoothing splines fitting. For each of these LM fitters, we then deduce a computable estimate of the MSPE which turns out to coincide with Akaike’s FPE. Using a slight variation, we similarly get a class of MSPE estimates coinciding with the classical GCV formula for those same LM fitters.展开更多
Frequentist model averaging has received much attention from econometricians and statisticians in recent years.A key problem with frequentist model average estimators is the choice of weights.This paper develops a new...Frequentist model averaging has received much attention from econometricians and statisticians in recent years.A key problem with frequentist model average estimators is the choice of weights.This paper develops a new approach of choosing weights based on an approximation of generalized cross validation.The resultant least squares model average estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors.Especially,the optimality is built under both discrete and continuous weigh sets.Compared with the existing approach based on Mallows criterion,the conditions required for the asymptotic optimality of the proposed method are more reasonable.Simulation studies and real data application show good performance of the proposed estimators.展开更多
The issue of selection of bandwidth in kernel smoothing method is considered within the context of partially linear models, hi this paper, we study the asymptotic behavior of the bandwidth choice based on generalized ...The issue of selection of bandwidth in kernel smoothing method is considered within the context of partially linear models, hi this paper, we study the asymptotic behavior of the bandwidth choice based on generalized cross-validation （CCV） approach and prove that this bandwidth choice is asymptotically optimal. Numerical simulation are also conducted to investigate the empirical performance of generalized cross-valldation.展开更多
文摘In regression, despite being both aimed at estimating the Mean Squared Prediction Error (MSPE), Akaike’s Final Prediction Error (FPE) and the Generalized Cross Validation (GCV) selection criteria are usually derived from two quite different perspectives. Here, settling on the most commonly accepted definition of the MSPE as the expectation of the squared prediction error loss, we provide theoretical expressions for it, valid for any linear model (LM) fitter, be it under random or non random designs. Specializing these MSPE expressions for each of them, we are able to derive closed formulas of the MSPE for some of the most popular LM fitters: Ordinary Least Squares (OLS), with or without a full column rank design matrix;Ordinary and Generalized Ridge regression, the latter embedding smoothing splines fitting. For each of these LM fitters, we then deduce a computable estimate of the MSPE which turns out to coincide with Akaike’s FPE. Using a slight variation, we similarly get a class of MSPE estimates coinciding with the classical GCV formula for those same LM fitters.
基金by National Key R&D Program of China(2020AAA0105200)the Ministry of Science and Technology of China(Grant no.2016YFB0502301)+1 种基金the National Natural Science Foundation of China(Grant nos.11871294,12031016,11971323,71925007,72042019,72091212 and 12001559)a joint grant from the Academy for Multidisciplinary Studies,Capital Normal University.
文摘Frequentist model averaging has received much attention from econometricians and statisticians in recent years.A key problem with frequentist model average estimators is the choice of weights.This paper develops a new approach of choosing weights based on an approximation of generalized cross validation.The resultant least squares model average estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors.Especially,the optimality is built under both discrete and continuous weigh sets.Compared with the existing approach based on Mallows criterion,the conditions required for the asymptotic optimality of the proposed method are more reasonable.Simulation studies and real data application show good performance of the proposed estimators.
文摘The issue of selection of bandwidth in kernel smoothing method is considered within the context of partially linear models, hi this paper, we study the asymptotic behavior of the bandwidth choice based on generalized cross-validation （CCV） approach and prove that this bandwidth choice is asymptotically optimal. Numerical simulation are also conducted to investigate the empirical performance of generalized cross-valldation.
