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20112026
most citedFocused information criterion and model averaging for generalized additive partial linear models

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math.ST2022★ 1 cited

From Model Selection to Model Averaging: A Comparison for Nested Linear Models

Wenchao Xu, Xinyu Zhang

Model selection (MS) and model averaging (MA) are two popular approaches when having many candidate models. Theoretically, the estimation risk of an oracle MA is not larger than th…