Parsimonious Model Averaging With a Diverging Number of Parameters
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DOI: 10.1080/01621459.2019.1604363
Abstract: Abstract Model averaging generally provides better predictions than model selection, but the existing model averaging methods cannot lead to parsimonious models. Parsimony is an especially important property when the number of parameters is large. To… read more here.
Keywords: parsimonious model; model averaging; averaging diverging; model ... See more keywords