Optimal model averaging estimator for multinomial logit models
In this paper, we study optimal model averaging estimators of regression coefficients in a multinomial logit model, which is commonly used in many scientific fields. A Kullback–Leibler (KL) loss-based weight choice criterion is developed to determine averaging weights. Under some regularity conditio...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-08-01
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| Series: | Statistical Theory and Related Fields |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/24754269.2022.2037204 |