Model averaging for M-estimation

Du, J; Zhang, ZZ; Xie, TF

Du, J (reprint author), Beijing Univ Technol, Coll Appl Sci, Beijing 100124, Peoples R China.; Du, J (reprint author), Collaborat Innovat Ctr Capital Social Construct &, Beijing 100124, Peoples R China.

STATISTICS, 2018; 52 (6): 1417

Abstract

M-estimation is a widely used technique for robust statistical inference. In this paper, we study model selection and model averaging for M-estimation......

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