A SELECTION PROBLEM FOR A CONSTRAINED LINEAR REGRESSION MODEL

被引：0
|
作者：
Lai, Shaoyong [1 ]
Xie, Qichang [1 ]
机构：
[1] SW Univ Finance & Econ, Coll Econ Math, Chengdu 610074, Peoples R China
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2008年 / 4卷 / 04期
关键词：
Model selection; constrained linear regression model; generalized information criterion; optimally;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Selecting a good estimate for a constricted linear regression model is investigated by using the generalized information criterion. Some asymptotic properties of the selection procedure with the model average technique are established. It is shown that the selection procedure is asymptotically efficient in the sense that a fitted estimate asymptotically obtains the minimum average squared error from a class of model average estimation.
引用
收藏
页码：757 / 766
页数：10
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