Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
نویسندگان
چکیده
We consider prediction based on a main model. When the model shares partial parameters with several other helper models, we make use of additional information. Specifically, propose Model Averaging Prediction (MAP) procedure that takes into account data related to as well models. allow different models follow structures, long they share some common covariate effect. show when is misspecified, MAP yields optimal weights in terms prediction. Further, if correctly specified, then will automatically exclude all incorrect asymptotically. Simulation studies are conducted demonstrate superior performance MAP. further implement analyze dataset probability credit card default.
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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2023
ISSN: ['1537-2707', '0735-0015']
DOI: https://doi.org/10.1080/07350015.2023.2166515