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Abstract:
In recent years, Kriging model has gained wide popularity in various fields such as space geology, econometrics, and computer experiments. As a result, research on this model has proliferated. In this paper, the authors propose a model averaging estimation based on the best linear unbiased prediction of Kriging model and the leave-one-out cross-validation method, with consideration for the model uncertainty. The authors present a weight selection criterion for the model averaging estimation and provide two theoretical justifications for the proposed method. First, the estimated weight based on the proposed criterion is asymptotically optimal in achieving the lowest possible prediction risk. Second, the proposed method asymptotically assigns all weights to the correctly specified models when the candidate model set includes these models. The effectiveness of the proposed method is verified through numerical analyses.
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JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN: 1009-6124
Year: 2024
Issue: 5
Volume: 37
Page: 2132-2156
2 . 1 0 0
JCR@2022
Cited Count:
WoS CC Cited Count: 1
SCOPUS Cited Count: 2
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 5
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