Optimal Model Averaging for Semiparametric Partially Linear Models with Censored Data

Author:

Hu Guozhi1,Cheng Weihu2,Zeng Jie1ORCID

Affiliation:

1. School of Mathematics and Statistics, Hefei Normal University, Hefei 230601, China

2. Faculty of Science, Beijing University of Technology, Beijing 100124, China

Abstract

In the past few decades, model averaging has received extensive attention, and has been regarded as a feasible alternative to model selection. However, this work is mainly based on parametric model framework and complete dataset. This paper develops a frequentist model-averaging estimation for semiparametric partially linear models with censored responses. The nonparametric function is approximated by B-spline, and the weights in model-averaging estimator are picked up via minimizing a leave-one-out cross-validation criterion. The resulting model-averaging estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared error. A simulation study demonstrates that the method in this paper is superior to traditional model-selection and model-averaging methods. Finally, as an illustration, the proposed procedure is further applied to analyze two real datasets.

Funder

Important Natural Science Foundation of Colleges and Universities of Anhui Province

Publisher

MDPI AG

Subject

General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)

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