The distribution of model averaging estimators and an impossibility result regarding its estimation

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dc.creatorPötscher, Benedikt M.
dc.date2007-02-26
dc.date.accessioned2026-07-07T08:40:52Z
dc.date.available2026-07-07T08:40:52Z
dc.descriptionThe finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.
dc.descriptionPublished at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702781
dc.identifierhttp://arxiv.org/abs/math/0702781
dc.identifierIMS Lecture Notes Monograph Series 2006, Vol. 52, 113-129
dc.identifierdoi:10.1214/074921706000000987
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/141499
dc.subjectStatistics Theory
dc.subjectMethodology
dc.subject62F10, 62F12 (Primary); 62E15, 62J05, 62J07 (Secondary)
dc.titleThe distribution of model averaging estimators and an impossibility result regarding its estimation
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