Robust model averaging prediction of longitudinal response with ultrahigh-dimensional covariates
超高维协变量下纵向响应的稳健模型平均预测
Abstract Model averaging is an attractive ensemble technique to construct fast and accurate prediction. Despite of having been widely practiced in cross-sectional data analysis, its application to longitudinal data is rather limited so far. We consider model averaging for longitudinal response when the number of covariates is ultrahigh. To this end, we propose a novel two-stage procedure in which variable screening is first conducted and then followed by model averaging. In…