The distribution of model averaging estimators and an impossibility result regarding its estimation
Benedikt M. Pötscher
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.
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Primary Subjects: 62F10, 62F12
Secondary Subjects: 62E15, 62J05, 62J07
Keywords: model mixing; model aggregation; combination of estimators; model selection; finite sample distribution; asymptotic distribution; estimation of distribution
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196285969
Digital Object Identifier: doi:10.1214/074921706000000987
Institute of Mathematical Statistics Lecture Notes - Monograph Series
