Author(s)

Peipei Fu^1,2, Juming Pan^3*

¹School of Health Care Management, Shandong University, Jinan, China.
²Key Laboratory of Health Economics and Policy Research, NHFPC (Shandong University), Jinan, China.
³Department of Mathematics and Statistics, University of Minnesota Duluth, Duluth, USA.

Model averaging has attracted increasing attention in recent years for the analysis of high-dimensional data. By weighting several competing statistical models suitably, model averaging attempts to achieve stable and improved prediction. To obtain a better understanding of the available model averaging methods, their properties and the relationships between them, this paper is devoted to make a review on some recent progresses in high-dimensional model averaging from the frequentist perspective. Some future research topics are also discussed.

Model Averaging, High-Dimensional Regression Models, Stable Prediction

Fu, P. and Pan, J. (2018) A Review on High-Dimensional Frequentist Model Averaging. Open Journal of Statistics, 8, 513-518. doi: 10.4236/ojs.2018.83033.