A high-dimensional model averaging framework with minimax-optimal weight estimation, asymptotic optimality, nearly-oracle rates when a correct model is present, and post-averaging simultaneous inference.
Cross-validation: W hat does it estimate and how well does it do it? Journal of the American Statistical Association, 119 0 (546): 0 1434--1445, 2024
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High-Dimensional Model Averaging via Cross-Validation
A high-dimensional model averaging framework with minimax-optimal weight estimation, asymptotic optimality, nearly-oracle rates when a correct model is present, and post-averaging simultaneous inference.