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
Keywords:
asymptotic distribution
,
combination of estimators
,
estimation of distribution
,
finite sample distribution
,
model aggregation
,
model mixing
,
Model selection
Rights: Copyright © 2006, Institute of Mathematical Statistics
