🤖 AI Summary
This study addresses the limitations of existing model averaging approaches in handling spatially heterogeneous data, which are often sensitive to model misspecification and lack predictive flexibility. The authors propose the first extension of model averaging to the spatially varying coefficient framework, constructing a weighted average estimator from a set of candidate spatially varying coefficient models. The weights are determined dynamically via a Mallows-type criterion. Theoretical analysis demonstrates that the proposed method enjoys favorable asymptotic properties under both global misspecification and the presence of a quasi-correctly specified model. Extensive simulations and empirical applications confirm that the approach substantially outperforms existing methods in terms of prediction accuracy and robustness.
📝 Abstract
Model averaging, as an appealing ensemble technique, strategically integrates all valuable information from candidate models to construct fast and accurate prediction. Despite of having been widely practiced in many fields such as cross-sectional data, censored data and longitudinal data, its application to spatial data characterized by inherent spatial heterogeneity remains surprisingly limited. To mitigate risk of model misspecification and enhance the flexibility of prediction, we propose a combined estimator constructed by computing the weighted average of estimators derived from a set of spatially varying coefficient candidate models. Herein, the model weights are determined via a Mallows-type criterion, which dynamically calibrates the relative importance of individual candidate models in the ensemble. Theoretically, we establish desirable asymptotic properties under two practical scenarios. First, in the case where all candidate models are misspecified, the proposed model averaging estimator attains asymptotic optimality in the sense that it minimizes the squared error loss function asymptotically. Second, when the candidate model set encompasses at least one quasi-correct model, the weights assigned by the Mallows-type criterion asymptotically concentrate on the quasi-correct models, and the resulting model averaging estimator converges in probability to the true conditional mean. Both simulation studies and a real-world empirical example demonstrate that the proposed method generally outperforms alternative comparative approaches in terms of predictive accuracy and robustness.