TITLE:
A Review on High-Dimensional Frequentist Model Averaging
AUTHORS:
Peipei Fu, Juming Pan
KEYWORDS:
Model Averaging, High-Dimensional Regression Models, Stable Prediction
JOURNAL NAME:
Open Journal of Statistics,
Vol.8 No.3,
June
13,
2018
ABSTRACT: Model averaging has attracted increasing attention in recent years for
the analysis of high-dimensional data. By weighting several competing
statistical models suitably, model averaging attempts to achieve stable and
improved prediction. To obtain a better understanding of the available model
averaging methods, their properties and the relationships between them, this
paper is devoted to make a review on some recent progresses in high-dimensional
model averaging from the frequentist perspective. Some future research topics
are also discussed.