The distribution of model averaging estimators and an impossibility result regarding its estimation
Statistics Theory
2007-11-06 v1 Methodology
Statistics Theory
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.
Keywords
Cite
@article{arxiv.math/0702781,
title = {The distribution of model averaging estimators and an impossibility result regarding its estimation},
author = {Benedikt M. Pötscher},
journal= {arXiv preprint arXiv:math/0702781},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)