Least Squares Model Averaging and Its Extensions

Speaker: Xinyu Zhang (Chinese Academy of Sciences)

Date: December 2 Thur. 2:00pm

Venue: Tencent Meeting Room: 307 424 966     

Abstract: Least squares model averaging has been explored in depth from the theoretical perspective and has been used widely in empirical applications. In this talk, I will introduce least squares model averaging and its asymptotic optimality, weight convergence, asymptotic distribution and finite sample property. Also, I will talk about its extension to high-dimensional case, averaging machine learning methods, and non-linear models.