Model averaging based on rank |
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| Authors: | Jiang Du Xiuping Chen Eddy Kwessi Zhimeng Sun |
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| Institution: | 1. College of Applied Sciences, Beijing University of Technology, Beijing, People's Republic of China;2. College of Oujiang, Wenzhou University, Wenzhou, People's Republic of China;3. Department of Mathematics, Trinity University, San Antonio, TX, USA;4. School of Statistics, Central University of Finance and Economics, Beijing, China |
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| Abstract: | In this paper, we investigate model selection and model averaging based on rank regression. Under mild conditions, we propose a focused information criterion and a frequentist model averaging estimator for the focused parameters in rank regression model. Compared to the least squares method, the new method is not only highly efficient but also robust. The large sample properties of the proposed procedure are established. The finite sample properties are investigated via extensive Monte Claro simulation study. Finally, we use the Boston Housing Price Dataset to illustrate the use of the proposed rank methods. |
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| Keywords: | Focused information criterion model selection model uncertainty rank regression Convexity Lemma |
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