Model combining in factorial data analysis

Lihua Chen, Panayotis Giannakouros, Yuhong Yang

Research output: Contribution to journalArticle

8 Scopus citations

Abstract

We study the properties of a model combining method, ARM (adaptive regression by mixing), in the ANOVA framework. We propose model instability measures as a guide to the appropriateness of model combining in applications. We further systematically investigate the relationship between ARM performance and the underlying model structure. We propose an approach to evaluating the importance of factors based on the combined estimates. A theoretical risk bound on the combined estimator is also obtained.

Original languageEnglish (US)
Pages (from-to)2920-2934
Number of pages15
JournalJournal of Statistical Planning and Inference
Volume137
Issue number9
DOIs
StatePublished - 2007

Keywords

  • ANOVA
  • Adaptive regression by mixing
  • Model combining
  • Model selection instability

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