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Abstract:
This paper is concerned with optimal model averaging procedure for semiparametric partially linear models where some covariates are subject to measurement error. We proposed a corrected semiparametric generalized least squares estimation for unknown parameters and nonparametric function, and developed a Mallows-type criterion for weight choice. The resulting model average estimator is shown to be asymptotically optimal in terms of achieving the smallest possible squared error under some regularity conditions. The simulation studies demonstrate that the proposed procedure is superior to traditional model selection and model averaging methods. Our approach is further applied to Ragweed Pollen Level data. © 2023 Elsevier B.V.
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Journal of Statistical Planning and Inference
ISSN: 0378-3758
Year: 2023
Volume: 230
0 . 9 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:9
Cited Count:
SCOPUS Cited Count: 2
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 2
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