Model Averaging Estimation Method by Kullback–Leibler Divergence for Multiplicative Error Model
In this paper, we propose the model averaging estimation method for multiplicative error model and construct the corresponding weight choosing criterion based on the Kullback–Leibler divergence with a hyperparameter to avoid the problem of overfitting. The resulting model average estimator is proved...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/7706992 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|