Sequential Model Averaging for High Dimensional Linear Regression Models

36 Pages Posted: 11 Jan 2017 Last revised: 13 Jan 2017

See all articles by Wei Lan

Wei Lan

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

Yingying Ma

Beihang University (BUAA)

Junlong Zhao

Beijing Normal University

Hansheng Wang

Peking University - Guanghua School of Management

Chih-Ling Tsai

University of California, Davis - Graduate School of Management

Date Written: January 9, 2017

Abstract

In high dimensional data analysis, we propose a sequential model averaging (SMA) method to make accurate and stable predictions. Specifically, we in- troduce a hybrid approach that combines a sequential screening process with a model averaging algorithm, where the weight of each model is determined by its Bayesian information (BIC) score (Schwarz, 1978; Chen and Chen, 2008). The sequential technique makes SMA computationally feasible with high dimensional data, because the averaging process assures the prediction’s accuracy and sta- bility. Theoretical results show that SMA not only yields a good model, but also mitigates overfitting. In addition, we demonstrate that SMA provides con- sistent estimators for the regression coefficients and yields reliable predictions under mild conditions. Both simulations and empirical examples are presented to illustrate the usefulness of the proposed method.

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

Suggested Citation

Lan, Wei and Ma, Yingying and Zhao, Junlong and Wang, Hansheng and Tsai, Chih-Ling, Sequential Model Averaging for High Dimensional Linear Regression Models (January 9, 2017). Available at SSRN: https://ssrn.com/abstract=2896533 or http://dx.doi.org/10.2139/ssrn.2896533

Wei Lan (Contact Author)

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

Zhizhi Zone 236, 555 Liutai Avenue
Wenjiang District
Chengdu, Sichuan 611130
China

Yingying Ma

Beihang University (BUAA) ( email )

37 Xue Yuan Road
Beijing 100083
China

Junlong Zhao

Beijing Normal University ( email )

19 Xin Jie Kou street
Beijing 100875
China

Hansheng Wang

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

Chih-Ling Tsai

University of California, Davis - Graduate School of Management ( email )

One Shields Avenue
Davis, CA 95616
United States

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