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### 广义线性模型下模型平均的比较研究

1. 1. 青岛大学数学与统计学院, 青岛  266071; 2. 广东金融学院信用管理学院,广州  510521
• 出版日期:2018-04-25 发布日期:2021-06-29

QIAO Ge, ZHOU Jianhong, LI Xinmin. A Comparative Study of Model Averaging for Generalized Linear Models[J]. Journal of Systems Science and Mathematical Sciences, 2021, 41(4): 1164-1180.

### A Comparative Study of Model Averaging for Generalized Linear Models

QIAO Ge1 ,ZHOU Jianhong2 ,LI Xinmin1

1. 1. Department of Mathematics and Statistics, Qingdao University, Qingdao 266071; 2. Department of Credit Management, Guangdong University of Finance, Guangzhou 510521
• Online:2018-04-25 Published:2021-06-29

Model averaging has attracted much attention in the field of statistics and econometrics due to many advantages such as good robustness and high prediction accuracy, and has great potential applications in many fields such as economics, finance, biology and medicine. Model averaging develops mainly in two directions: Bayesian model averaging (BMA) and frequentist model averaging (FMA). In this paper, BMA, $D$-probability method which improves the weight of BMA and FMA are briefly introduced, and the theoretical comparison between BMA and FMA is carried out, then the simulation studies are used to compare the finite sample performance of the model averaging methods mentioned above under linear and generalized linear models.
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