arXiv subjects

Jiahui Zou

Publications and source records attributed to Jiahui Zou.

6 recordsLinked to original sources

arXiv2025

A theoretical comparison of weight constraints in forecast combination and model averaging

Forecast combination and model averaging have become popular tools in forecasting and prediction, both of which combine a set of candidate estimates with certain weights and are often shown to outperform single estimates. A data-driven method to determine combination/averaging weights typically optimizes a criterion under certain weight constraints. While a large number of studies have been devoted to developing and comparing various weight choice criteria, the role of weight constraints on the properties of combination forecasts is relatively less understood, and the use of various constraints in practice is also rather arbitrary. In this study, we summarize prevalent weight constraints used in the literature, and theoretically and numerically compare how they influence the properties of the combined forecast. Our findings not only provide a comprehensive understanding on the role of various weight constraints but also practical guidance for empirical researchers how to choose relevant constraints based on prior information and targets.

math.ST↗

arXiv2023

Improving tensor regression by optimal model averaging

Tensors have broad applications in neuroimaging, data mining, digital marketing, etc. CANDECOMP/PARAFAC (CP) tensor decomposition can effectively reduce the number of parameters to gain dimensionality-reduction and thus plays a key role in tensor regression. However, in CP decomposition, there is uncertainty which rank to use. In this article, we develop a model averaging method to handle this uncertainty by weighting the estimators from candidate tensor regression models with different ranks. When all candidate models are misspecified, we prove that the model averaging estimator is asymptotically optimal. When correct models are included in the candidate models, we prove the consistency of parameters and the convergence of the model averaging weight. Simulations and empirical studies illustrate that the proposed method has superiority over the competition methods and has promising applications.

math.ST↗

arXiv2022

Optimal model averaging for single-index models with divergent dimensions

This paper offers a new approach to address the model uncertainty in (potentially) divergent-dimensional single-index models (SIMs). We propose a model-averaging estimator based on cross-validation, which allows the dimension of covariates and the number of candidate models to increase with the sample size. We show that when all candidate models are misspecified, our model-averaging estimator is asymptotically optimal in the sense that its squared loss is asymptotically identical to that of the infeasible best possible averaging estimator. In a different situation where correct models are available in the model set, the proposed weighting scheme assigns all weights to the correct models in the asymptotic sense. We also extend our method to average regularized estimators and propose pre-screening methods to deal with cases with high-dimensional covariates. We illustrate the merits of our method via simulations and two empirical applications.

stat.ME↗

arXiv2022

Sampling with replacement vs Poisson sampling: a comparative study in optimal subsampling

Faced with massive data, subsampling is a commonly used technique to improve computational efficiency, and using nonuniform subsampling probabilities is an effective approach to improve estimation efficiency. For computational efficiency, subsampling is often implemented with replacement or through Poisson subsampling. However, no rigorous investigation has been performed to study the difference between the two subsampling procedures such as their estimation efficiency and computational convenience. This paper performs a comparative study on these two different sampling procedures. In the context of maximizing a general target function, we first derive asymptotic distributions for estimators obtained from the two sampling procedures. The results show that the Poisson subsampling may have a higher estimation efficiency. Based on the asymptotic distributions for both subsampling with replacement and Poisson subsampling, we derive optimal subsampling probabilities that minimize the variance functions of the subsampling estimators. These subsampling probabilities further reveal the similarities and differences between subsampling with replacement and Poisson subsampling. The theoretical characterizations and comparisons on the two subsampling procedures provide guidance to select a more appropriate subsampling approach in practice. Furthermore, practically implementable algorithms are proposed based on the optimal structural results, which are evaluated through both theoretical and empirical analyses.

math.ST↗

arXiv2022

Model Averaging for Support Vector Machine by Cross-Validation

Support vector machine (SVM) is a well-known statistical technique for classification problems in machine learning and other fields. An important question for SVM is the selection of covariates (or features) for the model. Many studies have considered model selection methods. As is well-known, selecting one winning model over others can entail considerable instability in predictive performance due to model selection uncertainties. This paper advocates model averaging as an alternative approach, where estimates obtained from different models are combined in a weighted average. We propose a model weighting scheme and provide the theoretical underpinning for the proposed method. In particular, we prove that our proposed method yields a model average estimator that achieves the smallest hinge risk among all feasible combinations asymptotically. To remedy the computational burden due to a large number of feasible models, we propose a screening step to eliminate the uninformative features before combining the models. Results from real data applications and a simulation study show that the proposed method generally yields more accurate estimates than existing methods.

stat.ME↗

arXiv2021

Sorting OAM modes with metasurfaces based on raytracing improved optical coordinate transformation

Optical coordinate transformation (OCT) has attracted widespread attention in the field of orbital angular momentum (OAM) (de)multiplexing or manipulation, but the performance of OCT would suffer from its distortion. In this paper, we quantitatively analyze the distortion of OCT from the perspective of ray optics, and explain its rationality to work under non-normal incident light. For the special case of log-polar coordinate transformation (LPCT), we use a raytracing assisted optimization scheme to improve its distortion, which is related to a Zernike polynomial based phase compensation. After raytracing optimization, the root mean square error (RMSE) of the focused rays is reduced to 1/5 of the original value and the physical optic simulation also shows great improvement. In the experiment, we use three phase masks which are realized by metasurfaces, the measured results show well consistency with the simulation. Results in this paper have great potential to improve the performance of OCT related applications.

physics.optics↗