Least squares model averaging and its extensions

Date: 2021-12-02 18:44:58
Time: 14:00
Venue: Online
Speaker: ZHANG Xinyu
Category: Talk & Lecture

Speaker: Prof. ZHANG XinyuDepartment of Statistics and Finance, University of Science and Technology of China

Venue: Tencent meeting ID: 307-424-966


Least squares model averaging has been explored in depth from the theoretical perspective and has been used widely in empirical applications. In this talk, I will introduce least squares model averaging and its asymptotic optimality, weight convergence, asymptotic distribution and finite sample property. Also, I will talk about its extension to high-dimensional case, averaging machine learning methods, and non-linear models.