Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
提出一种模型平均预测方法，利用主模型与多个辅助模型共享的部分参数，提升预测精度，并在信用卡违约数据中验证效果。
We consider prediction based on a main model. When the main model shares partial parameters with several other helper models, we make use of the additional information. Specifically, we propose a Model Averaging Prediction (MAP) procedure that takes into account data related to the main model as well as data related to the helper models. We allow the data related to different models to follow different structures, as long as they share some common covariate effect. We show that when the main model is misspecified, MAP yields the optimal weights in terms of prediction. Further, if the main model is correctly specified, then MAP will automatically exclude all incorrect helper models asymptotically. Simulation studies are conducted to demonstrate the superior performance of MAP. We further implement MAP to analyze a dataset related to the probability of credit card default.