3,999
Views
127
CrossRef citations to date
0
Altmetric
Theory and Methods

A Model-Averaging Approach for High-Dimensional Regression

Pages 254-265 | Received 01 Jul 2012, Published online: 19 Mar 2014

REFERENCES

  • Akaike, H. (1979), A Bayesian Extension of the Minimum AIC Procedure of Autoregressive Model Fitting, Biometrika, 66, 237–242.
  • Ando, T., Tsay, R. (2010), Predictive Likelihood for the Bayesian Model Selection and Averaging, International Journal of Forecasting, 26, 744–763.
  • Avramov, D. (2002), Stock Return Predictability and Model Uncertainty, Journal of Financial Economics, 64, 423–458.
  • Breheny, P., Huang, J. (2011), Coordinate Descent Algorithms for Nonconvex Penalized Regression, With Applications to Biological Feature selection, Annals of Applied Statistics, 5, 232–253.
  • Buhlmann, P., Kalisch, M., Maathuis, M.K. (2010), Variable Selection in High-dimensional Linear Models: Partially Faithful Distributions and the PC-simple Algorithm, Biometrika, 97, 261–278.
  • Candes, E., Tao, T. (2007), The Dantzig Selector: Statistical Estimation When p is Much Larger than n, The Annals of Statistics, 35, 2313–2351.
  • Crespo-Cuaresma, J., Slacik, T. (2009), On the Determinants of Currency Crises: The Role of Model Uncertainty, Journal of Macroeconomics, 31, 621–632.
  • Efron, B., Johnstone, I., Hastie, T., Tibshirani, R. (2004), Least Angle Regression, The Annals of Statistics, 32, 407–499.
  • Eicher, T., Henn, C., Papageorgiou, C. (2012), Trade Creation and Diversion Revisited: Accounting for Model Uncertainty and Natural Trading Partner Effects, Journal of Applied Econometrics, 27, 296–321.
  • Eklund, J., Karlsson, S. (2007), Forecast Combination and Model Averaging Using Predictive Measures, Econometric Reviews, 26, 329–363.
  • Fan, J., Li, R. (2001), Variable Selection Via Nonconcave Penalized Likelihood and Its Oracle Properties, Journal of the American Statistical Association, 96, 1348–1360.
  • Fan, J., Lv, J. (2008), Sure Independence Screening for Ultrahigh Dimensional Feature Space, Journal of the Royal Statistical Society, Series B, 70, 849–911.
  • Fan, J., Peng, H. (2004), Nonconcave Penalized Likelihood With a Diverging Number of Parameters, The Annals of Statistics, 32, 928–961.
  • Fernandez, C., Ley, E., Steel, M. F.J. (2001), Benchmark Priors for Bayesian Model Averaging, Journal of Econometrics, 100, 381–427.
  • Garratt, A., Lee, K., Pesaran, H., Shin, Y. (2003), Forecast Uncertainties in Macroeconomic Modeling: An Application to the U.K. Economy, Journal of the American Statistical Association, 98, 829–838.
  • Genovese, C., Jin, J., and Wasserman, L. (2009), “Revisiting Marginal Regression,” available at http://arxiv.org/abs/0911.4080v1
  • Hansen, B.E. (2007), Least Squares Model Averaging, Econometrica, 75, 1175–1189.
  • Hansen, B.E., Racine, J. (2012), Jackknife Model Averaging, Journal of Econometrics, 167, 38–46.
  • Hoeting, J.A., Madigan, D., Raftery, A.E., Volinsky, C.T. (1999), Bayesian Model Averaging: A Tutorial, Statistical Science, 14, 382–417.
  • Hosmer, D.W., and Lemeshow, S. (1989), Applied Logistic Regression, New York: Wiley.
  • Kass, R., Raftery, A. (1995), Bayes Factors and Model Uncertainty, Journal of the American Statistical Association, 90, 773–795.
  • Li, K.-C. (1986), Asymptotic Optimality of CL and Generalized Cross-validation in Ridge Regression With Application to Spline Smoothing, The Annals of Statistics, 14, 1011–1112.
  • Li, K.-C. (1987), Asymptotic Optimality for Cp, CL, Cross-validation and Generalized Crossvalidation: Discrete Index Set, The Annals of Statistics, 15, 958–975.
  • Madigan, D., Raftery, A.E. (1994), Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam’s Window, Journal of the American Statistical Association, 89, 1535–1546.
  • Mallows, C.L. (1973), Some comments on Cp, Technometrics, 15, 661–675.
  • Meier, L., van de Geer, S., Buhlmann, P. (2008), The Group Lasso for Logistic Regression, Journal of the Royal Statistical, Society B, 70, 53–71.
  • Morales, K., Ibrahim, J., Chen, C., Ryan, L. (2006), Bayesian Model Averaging With Applications to Benchmark Dose Estimation for Arsenic in Drinking Water, Journal of the American Statistical Association, 101, 9–17.
  • Newbold, P., Granger, C. W.J. (1974), Experience With Forecasting Univariate Time Series and the Combination of Forecasts” (with discussion), Journal of the Royal Statistical Society, Series A, 137, 131–149.
  • Palm, F.C., Zellner, A. (1992), To Combine or Not to Combine? Issues of Combining Forecasts, Journal of Forecasting, 11, 687–701.
  • Park, T., Casella, G. (2008), The Bayesian Lasso, Journal of the American Statistical Association, 103, 681–686.
  • Pesaran, H., Schleicher, C., Zaffaroni, P. (2009), Model Averaging in Risk Management With an Application to Futures Markets, Journal of Empirical Finance, 16, 280–305.
  • Raftery, A.E., Madigan, D., Hoeting, J.A. (1997), Bayesian Model Averaging for Linear Regression Models, Journal of the American Statistical Association, 92, 179–191.
  • Shao, J. (1997), An Asymptotic Theory for Linear Model Selection” (with discussion), Statistica Sinica, 7, 221–264.
  • Stone, C.J. (1982), Optimal Global Rates of Convergence for Nonparametric Regression, The Annals of Statistics, 10, 1040–1053.
  • Tibshirani, R. (1996), Regression Shrinkage and Selection Via the Lasso, Journal of the Royal Statistical Society, Series B, 58, 267–288.
  • Wan, A., Zhang, X. (2009), On the Use of Model Averaging in Tourism Research, Annals of Tourism Research, 36, 525–532.
  • Wan, A. T.K., Zhang, X., Zou, G. (2010), Least Squares Model Averaging by Mallows Criterion, Journal of Econometrics, 156, 277–283.
  • Wang, H., Li, B., Leng, C. (2009), Shrinkage Tuning Parameter Selection With a Diverging Number of Parameters, Journal of the Royal Statistical Society, Series B, 71, 671–683.
  • Whittle, P. (1960), Bounds for the Moments of Linear and Quadratic Forms in Independent Variables, Theory of Probability and its Applications, 5, 302–305.
  • Wright, J.H. (2008), Bayesian Model Averaging and Exchange Rate Forecasts, Journal of Econometrics, 146, 329–341.
  • Yuan, M., Lin, Y. (2006), Model Selection and Estimation in Regression With Grouped Variables, Journal of the Royal Statistical Society, Series B, 68, 49–67.
  • Zhang, C.-H. (2010), Nearly Unbiased Variable Selection Under Minimax Concave Penalty, The Annals of Statistics, 38, 894–942.
  • Zou, H. (2006), The Adaptive Lasso and Its Oracle Properties, Journal of the American Statistical Association, 101, 1418–1429.
  • Zou, H., Hastie, T. (2005), Regularization and Variable Selection Via the Elastic Net, Journal of the Royal Statistical Society, Series B, 67, 301–320.
  • Zou, H., Hastie, T., Tibshirani, R. (2007), On the Degrees of Freedom of the Lasso, The Annals of Statistics, 35, 2173–2192.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.