Wei Lan

Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research

Zhizhi Zone 236, 555 Liutai Avenue

Wenjiang District

Chengdu, Sichuan 611130

China

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Scholarly Papers (1)

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Sequential Model Averaging for High Dimensional Linear Regression Models

Number of pages: 36 Posted: 11 Jan 2017 Last Revised: 13 Jan 2017
Southwestern University of Finance and Economics (SWUFE) - Statistical School and Center of Statistical Research, Beihang University (BUAA), Beijing Normal University, Peking University - Guanghua School of Management and University of California, Davis - Graduate School of Management
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Abstract:

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Forward Regression, Sequential Model Averaging, Sequential Screening, Univariate Model Averaging