UCLA

Forecasting and predictive inference are fundamental data analysis tasks. Most studies employ parametricapproaches making strong assumptions about the data generating process. On the other hand, while nonparametric modelsare applied, it is sometimes found in situations involving low signal to noise ratios or large numbers of covariates that theirperformance is unsatisfactory. We propose a new varying-coefficient semiparametric model averaging prediction (VC-SMAP)approach to analyze large data sets with abundant covariates. Performance of the procedure is investigated with numericalexamples. Even though model averaging has been extensively investigated in the literature, very few authors have consideredaveraging a set of semiparametric models. Our proposed model averaging approach provides more flexibility than parametricmethods, while being more stable and easily implemented than fully multivariate nonparametric varying-coefficient models.We supply numerical evidence to justify the effectiveness of our methodology.