scholarly journals Model Averaging Estimation for High-dimensional Covariance Matrix with a Network Structure

2020 ◽  
Author(s):  
Rong Zhu ◽  
Xinyu Zhang ◽  
Yanyuan Ma ◽  
Guohua Zou
Keyword(s):  
Covariance Matrix ◽  
Network Structure ◽  
Averaging Method ◽  
Asymptotic Optimality ◽  
Model Averaging ◽  
High Dimensional ◽  
Type Model ◽  
Model Average ◽  
Squared Error

Abstract In this paper, we develop a model averaging method to estimate the high-dimensional covariance matrix, where the candidate models are constructed by different orders of the polynomial functions. We propose a Mallows-type model averaging criterion and select the weights by minimizing this criterion, which is an unbiased estimator of the expected in-sample squared error plus a constant. Then, we prove the asymptotic optimality of the resulting model average covariance (MAC) estimators. Furthermore, numerical simulations and a case study on Chinese airport network structure data are conducted to demonstrate the usefulness of the proposed approaches.

Model averaging with the hybrid model: An asymptotic study and demonstration

2022 ◽  
pp. 096228022110417
Author(s):  
Kian Wee Soh ◽  
Thomas Lumley ◽  
Cameron Walker ◽  
Michael O’Sullivan
Keyword(s):  
Cross Validation ◽  
Asymptotic Optimality ◽  
Model Averaging ◽  
Explanatory Variables ◽  
Model Average ◽  
Cross Validation Error ◽  
Validation Procedure ◽  
High Level ◽  
Leave One Out ◽  
Established Technique

In this paper, we present a new model averaging technique that can be applied in medical research. The dataset is first partitioned by the values of its categorical explanatory variables. Then for each partition, a model average is determined by minimising some form of squared errors, which could be the leave-one-out cross-validation errors. From our asymptotic optimality study and the results of simulations, we demonstrate under several high-level assumptions and modelling conditions that this model averaging procedure may outperform jackknife model averaging, which is a well-established technique. We also present an example where a cross-validation procedure does not work (that is, a zero-valued cross-validation error is obtained) when determining the weights for model averaging.

scholarly journals Complete subset averaging with many instruments

2020 ◽  
Author(s):  
Seojeong Lee ◽  
Youngki Shin
Keyword(s):  
Demand Function ◽  
Simulation Experiment ◽  
Mean Squared Error ◽  
Asymptotic Optimality ◽  
Weighted Average ◽  
Subset Size ◽  
Extensive Simulation ◽  
Squared Error ◽  
Many Instruments ◽  
Class Of Estimators

Summary We propose a two-stage least squares (2SLS) estimator whose first stage is the equal-weighted average over a complete subset with k instruments among K available, which we call the complete subset averaging (CSA) 2SLS. The approximate mean squared error (MSE) is derived as a function of the subset size k by the Nagar (1959) expansion. The subset size is chosen by minimising the sample counterpart of the approximate MSE. We show that this method achieves asymptotic optimality among the class of estimators with different subset sizes. To deal with averaging over a growing set of irrelevant instruments, we generalise the approximate MSE to find that the optimal k is larger than otherwise. An extensive simulation experiment shows that the CSA-2SLS estimator outperforms the alternative estimators when instruments are correlated. As an empirical illustration, we estimate the logistic demand function in Berry et al. (1995) and find that the CSA-2SLS estimate is better supported by economic theory than are the alternative estimates.

scholarly journals A New Model Averaging Approach in Predicting Credit Risk Default

Risks ◽  
2021 ◽  
Vol 9 (6) ◽  
pp. 114
Author(s):  
Paritosh Navinchandra Jha ◽  
Marco Cucculelli
Keyword(s):  
Machine Learning ◽  
Credit Risk ◽  
Model Averaging ◽  
Research Direction ◽  
Future Research ◽  
Classification Problems ◽  
Average Technique ◽  
Model Average ◽  
Novel Approach ◽  
Unbalanced Dataset

The paper introduces a novel approach to ensemble modeling as a weighted model average technique. The proposed idea is prudent, simple to understand, and easy to implement compared to the Bayesian and frequentist approach. The paper provides both theoretical and empirical contributions for assessing credit risk (probability of default) effectively in a new way by creating an ensemble model as a weighted linear combination of machine learning models. The idea can be generalized to any classification problems in other domains where ensemble-type modeling is a subject of interest and is not limited to an unbalanced dataset or credit risk assessment. The results suggest a better forecasting performance compared to the single best well-known machine learning of parametric, non-parametric, and other ensemble models. The scope of our approach can be extended to any further improvement in estimating weights differently that may be beneficial to enhance the performance of the model average as a future research direction.

scholarly journals Method for Viewing Real-World Scenes while Recording Video

2021 ◽  
Vol 11 (10) ◽  
pp. 4617
Author(s):  
Daehee Park ◽  
Cheoljun Lee
Keyword(s):  
Real World ◽  
Video Recording ◽  
Emotional Responses ◽  
Target Object ◽  
Error Rates ◽  
User Needs ◽  
High Quality ◽  
Gradient Algorithms ◽  
Squared Error

Because smartphones support various functions, they are carried by users everywhere. Whenever a user believes that a moment is interesting, important, or meaningful to them, they can record a video to preserve such memories. The main problem with video recording an important moment is the fact that the user needs to look at the scene through the mobile phone screen rather than seeing the actual real-world event. This occurs owing to uncertainty the user might feel when recording the video. For example, the user might not be sure if the recording is of high-quality and might worry about missing the target object. To overcome this, we developed a new camera application that utilizes two main algorithms, the minimum output sum of squared error and the histograms of oriented gradient algorithms, to track the target object and recognize the direction of the user’s head. We assumed that the functions of the new camera application can solve the user’s anxiety while recording a video. To test the effectiveness of the proposed application, we conducted a case study and measured the emotional responses of users and the error rates based on a comparison with the use of a regular camera application. The results indicate that the new camera application induces greater feelings of pleasure, excitement, and independence than a regular camera application. Furthermore, it effectively reduces the error rates during video recording.

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