期刊名称：American Journal of Applied Mathematics and Statistics
印刷版ISSN：2328-7306
电子版ISSN：2328-7292
出版年度：2014
卷号：2
期号：3
页码：150-156
DOI：10.12691/ajams-2-3-9
语种：English
出版社：Science and Education Publishing
摘要：Model averaging is an alternative to model selection and involves assigning weights to different models. A natural question that arises is whether there is an optimal weighting scheme. Various authors have shown their existence in others methodological frameworks. This paper investigates the derivation of optimal weights for model averaging using square error loss. It is shown that though these weights may exist in theory and depend on model parameters; once estimated they are no longer optimal. It is demonstrated using an example of linear regression that model averaging estimators with these estimated weights are unlikely to outperform post-model selection and others model averaging estimators. We provide a theoretical justification for this phenomenon.
关键词：model averaging; model selection; optimal weight; square error loss; model uncertainty
