Mallows Model Averaging Estimation for Linear Regression Model with Right Censored Data

• 作者: Zhong-qi LIANG Xiao-lin CHEN Yan-qiu ZHOU
• 来源期刊: 应用数学学报（英文版）
• 年，卷（期）: 2022,（1）
• 页码范围: 5-23
• 页数: 19页
• 语种: 英文

摘要

This paper is concerned with an optimal model averaging estimation for linear regression model with right censored data.The weights for model averaging are picked up via minimizing the Mallows criterion.Under some mild conditions,it is shown that the identified weights possess the property of asymptotic optimality,that is,the model averaging estimator corresponding to these weights achieves the lowest squared error asymptotically.Some numerical studies are conducted to evaluate the finite-sample performance of our method and make comparisons with its intuitive competitors,while an application to the PBC dataset is provided to serve as an illustration.