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, ahead-of-print: 1-12. 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