報告題目：Asymptotic distribution theory for model averaging based on information criterion
報 告 人：鄒國華 教授 首都師範大學
報告時間：2022年07月20日 10：00-11：00
報告地點：騰訊會議 ID：587-319-559
會議鍊接：https://meeting.tencent.com/dm/W6F3io7PiLLU
校内聯系人：韓月才 hanyc@jlu.edu.cn
報告摘要：Smoothed AIC (S-AIC) and Smoothed BIC (S-BIC) are widely used in model averaging. Unlike most other model averaging methods, which depend on the specific model structures, S-AIC and S-BIC can be applied to all situations where AIC and BIC can be calculated, and so are very convenient to implement. However, their theoretical property has not been explored yet. In this paper, we aim to fill this gap. We will study the asymptotic behavior of the S-AIC and S-BIC estimators. A significant difference from the literature, where the local misspecification assumption is usually needed, is that we derive the limiting distributions of the S-AIC and S-BIC weights and estimators under framework of fixed parameter. Based on our limiting theory, we investigate the confidence intervals constructed by Burnham and Anderson (2002), who claimed but did not prove that the resultant coverage probabilities would be close to the intended level. Further, under fixed parameter setup, we provide the confidence interval construction methods for the parameters of interest. Both simulation study and real data analysis support our theoretical conclusions.
報告人簡介：鄒國華，首都師範大學特聘教授。博士畢業于中國科學院系統科學研究所，是國家傑出青年基金獲得者、“新世紀百千萬人才工程”國家級人選、中國科學院“百人計劃”入選者、享受國務院政府特殊津貼，曾獲中國科學院優秀研究生指導教師稱号。主要從事統計學的理論研究及其在經濟金融、生物醫學中的應用研究工作，在統計模型選擇與平均、抽樣調查的設計與分析、決策函數的優良性、疾病與基因的關聯分析等方面的研究中取得了一系列重要成果，得到了國内外同行的好評與肯定，并被廣泛引用。共出版教材2本，發表學術論文120餘篇；主持和參加過近30項國家科學基金項目以及全國性的實際課題，提出的預測方法被實際部門所采用。
