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Abstract:
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Model average techniques are very useful for model-based prediction. However, most earlier works in this field focused on parametric models and continuous responses. In this article, we study varying coefficient multinomial logistic models and propose a semiparametric model averaging prediction (SMAP) approach for multi-category outcomes. The proposed procedure does not need any artificial specification of the index variable in the adopted varying coefficient sub-model structure to forecast the response. In particular, this new SMAP method is more flexible and robust against model misspecification. To improve the practical predictive performance, we combine SMAP with the AdaBoost algorithm to obtain more accurate estimations of class probabilities and model averaging weights. We compare our proposed methods with all existing model averaging approaches and a wide range of popular classification methods via extensive simulations. An automobile classification study is included to illustrate the merits of our methodology.
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