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國立臺灣大學計量理論與應用研究中心 - CRETA

學術活動

CRETA Seminar

2022 年 5 月 27 日CRETA Seminar

訊息標題:

2022 年 5 月 27 日CRETA Seminar

簡介摘要:

國立臺灣大學計量理論與應用研究中心 (CRETA) 及臺灣經濟計量學會 (TES) 將於 2022 年 5 月 27 日舉辦 CRETA Seminar。相關資訊如下。

 

 5  27  CRETA Seminar

日期:2022 年 5 月 27 日 (週五) 下午 2:00~3:30

地點:線上舉行

講者:張新雨教授 (中國科學院數學與系統科學研究院)

演講主題:FROM MODEL SELECTION TO MODEL AVERAGING: A COMPARISON FOR NESTED LINEAR MODELS

講題摘要:

Model selection (MS) and model averaging (MA) are two popular approaches when having many candidate models. Theoretically, the estimation risk of an oracle MA is not larger than that of an oracle MS because the former one is more flexible, but a foundational issue is: does MA offer a substantial improvement over MS? Recently, a seminal work: Peng and Yang (2021), has answered this question under nested models with linear orthonormal series expansion. In the current paper, we further reply this question under linear nested regression models. Especially, a more general nested framework, heteroscedastic and autocorrelated random errors, and sparse coefficients are allowed in the current paper, which is more common in practice. In addition, we further compare MAs with different weight sets. Simulation studies support the theoretical findings in a variety of settings.(Jointly with Dr. Wenchao Xu).

 

講者介紹:

講者:張新雨教授 (中國科學院數學與系統科學研究院)

備註事項:

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報名期限:2022/5/26 (四)  中午 12:00

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