Focused information criterion and model averaging with generalized rank regression

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• 作者：Qingzhao Zhang^a ; ^b ; Xiaogang Duan^c ; Shuangge Ma^a ; ^b ; ^{shuangge.ma@yale.edu}
• 关键词：Focus information criterion ; Frequentist model averaging ; Generalized rank regression ; Local model misspecification
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：122
• 期：Complete
• 页码：11-19
• 全文大小：423 K
• 卷排序：122

文摘

Generalized rank regression, which is a class of weighted rank regression with weights based on factor space, provides a powerful tool for conducting robust estimation. In this article, we first establish the asymptotic properties of generalized rank regression under local model misspecification. We then apply the generalized rank regression to the focus information criterion and frequentist model averaging and establish their properties.