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 |
| _version_ | 1797677005767966720 |
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| author | Rongjie Jiang Liming Wang Yang Bai |
| author_facet | Rongjie Jiang Liming Wang Yang Bai |
| author_sort | Rongjie Jiang |
| collection | DOAJ |
| description | 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 conditions, we prove that the resulting model averaging estimators are asymptotically optimal. When the true model is one of the candidate models, the averaged estimators are consistent. Simulation studies suggest the superiority of the proposed method over commonly used model selection criterions, model averaging methods, as well as some other related methods in terms of the KL loss and mean squared forecast error. Finally, the website phishing data is used to illustrate the proposed method. |
| first_indexed | 2024-03-11T22:38:40Z |
| format | Article |
| id | doaj.art-4ac66f1f27124fb99dc612c459e633a2 |
| institution | Directory Open Access Journal |
| issn | 2475-4269 2475-4277 |
| language | English |
| last_indexed | 2024-03-11T22:38:40Z |
| publishDate | 2022-08-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Statistical Theory and Related Fields |
| spelling | doaj.art-4ac66f1f27124fb99dc612c459e633a22023-09-22T09:19:46ZengTaylor & Francis GroupStatistical Theory and Related Fields2475-42692475-42772022-08-016322724010.1080/24754269.2022.20372042037204Optimal model averaging estimator for multinomial logit modelsRongjie Jiang0Liming Wang1Yang Bai2Shanghai University of Finance and EconomicsShanghai University of Finance and EconomicsShanghai University of Finance and EconomicsIn 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 conditions, we prove that the resulting model averaging estimators are asymptotically optimal. When the true model is one of the candidate models, the averaged estimators are consistent. Simulation studies suggest the superiority of the proposed method over commonly used model selection criterions, model averaging methods, as well as some other related methods in terms of the KL loss and mean squared forecast error. Finally, the website phishing data is used to illustrate the proposed method.http://dx.doi.org/10.1080/24754269.2022.2037204model averagingmultinomial logit modelkullback–leibler lossasymptotically optimal |
| spellingShingle | Rongjie Jiang Liming Wang Yang Bai Optimal model averaging estimator for multinomial logit models Statistical Theory and Related Fields model averaging multinomial logit model kullback–leibler loss asymptotically optimal |
| title | Optimal model averaging estimator for multinomial logit models |
| title_full | Optimal model averaging estimator for multinomial logit models |
| title_fullStr | Optimal model averaging estimator for multinomial logit models |
| title_full_unstemmed | Optimal model averaging estimator for multinomial logit models |
| title_short | Optimal model averaging estimator for multinomial logit models |
| title_sort | optimal model averaging estimator for multinomial logit models |
| topic | model averaging multinomial logit model kullback–leibler loss asymptotically optimal |
| url | http://dx.doi.org/10.1080/24754269.2022.2037204 |
| work_keys_str_mv | AT rongjiejiang optimalmodelaveragingestimatorformultinomiallogitmodels AT limingwang optimalmodelaveragingestimatorformultinomiallogitmodels AT yangbai optimalmodelaveragingestimatorformultinomiallogitmodels |