Speaker: Prof. ZHANG Xinyu, Department 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.