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VOL. 52 | 2006 The distribution of model averaging estimators and an impossibility result regarding its estimation

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.

Information

Published: 1 January 2006
First available in Project Euclid: 28 November 2007

zbMATH: 1268.62066

Digital Object Identifier: 10.1214/074921706000000987

Subjects:
Primary: 62F10, 62F12
Secondary: 62E15, 62J05, 62J07

Rights: Copyright © 2006, Institute of Mathematical Statistics

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