【 5 月 27 日 CRETA Seminar】

日期：2022 年 5 月 27 日 (週五) 下午 2:00~3:30

講者：張新雨教授 (中國科學院數學與系統科學研究院)

演講主題：

FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS

講題摘要：

Model selection (MS) and model averaging (MA) are two popular approaches when having many candidate models. Theoretically, the estimation risk of an oracle MA is not larger than that of an oracle MS because the former one is more flexible, but a foundational issue is: does MA offer a substantial improvement over MS? Recently, a seminal work: Peng and Yang (2021), has answered this question under nested models with linear orthonormal series expansion. In the current paper, we further reply this question under linear nested regression models. Especially, a more general nested framework, heteroscedastic and autocorrelated random errors, and sparse coefficients are allowed in the current paper, which is more common in practice. In addition, we further compare MAs with different weight sets. Simulation studies support the theoretical findings in a variety of settings.(Jointly with Dr. Wenchao Xu).

講者介紹：

張新雨教授 (中國科學院數學與系統科學研究院)

報名網址：

https://www.creta.org.tw/?news_2=278