On the asymptotic distribution of model averaging based on information criterion

Abstract: Smoothed AIC (S-AIC) and Smoothed BIC (S-BIC) are very widely used in model averaging and are very easily to implement. Especially, the optimal model averaging method MMA and JMA have only been well developed in linear models. Only by modifying, they can be applied to other models. But S-AIC and S-BIC can be used in all situations where AIC and BIC can be calculated. In this paper, we study the asymptotic behavior of two commonly used model averaging estimators, the S-AIC and S-BIC estimators, under the standard asymptotic with general fixed parameter setup. In addition, the resulting coverage probability in Buckland et al. (1997) is not studied accurately, but it is claimed that it will be close to the intended. Our derivation make it possible to study accurately. Besides, we also prove that the confidence interval construction method in Hjort and Claeskens (2003) still works in linear regression with normal distribution error. Both the simulation and applied example support our theory conclusion.