On Optimality of Mallows Model Averaging
Peng J, Li Y, Yang Y. On Optimality of Mallows Model Averaging. Journal Of The American Statistical Association 2024, 120: 1152-1163. DOI: 10.1080/01621459.2024.2402566.Peer-Reviewed Original ResearchNon-nested setAsymptotic optimalityModel selectionCp criterionMallows model averageCandidate modelsOptimal convex combinationMallows' Cp criterionMinimax adaptiveSampling inequalitiesMallows modelConvex combinationTheoretical findingsOptimal riskSupplementary materialsMA estimatesModel averagingTheoretical justificationModel weightsAverage modelNested setMild conditionsMinimaxEstimationInequality
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