The asymptotic theory for model averaging in generalsemiparametric models

Abstract

This paper focuses on the model averaging method for semiparametric models.We aim to extend the framework of the parameter models given by Hjort and Claeskens in 2003.Although Claeskens and Carroll considered exactly the same 问题 in 2007, the two methods are not identical.We derive the asymptotic distribution of the model averaging estimator,and also develop a confidence interval with an actual coverage probability that tends toward the nominal level in large samples.Both simulation study and real data analysis show that the proposed model averaging method performs well.