Distributed Mallows Model Averaging for Ridge Regressions

Ridge regression is an effective tool to handle multicollinearity in regressions. It is also an essential type of shrinkage and regularization methods and is widely used in big data and distributed data applications. The divide and conquer trick, which combines the estimator in each subset with equal weight, is commonly applied in distributed data. To overcome multicollinearity and improve estimation accuracy in the presence of distributed data, we propose a Mallows-type model averaging method for ridge regressions, which combines estimators from all subsets. Our method is proved to be asymptotically optimal allowing the number of subsets and the dimension of variables to be divergent. The consistency of the resultant weight estimators tending to the theoretically optimal weights is also derived. Furthermore, the asymptotic normality of the model averaging estimator is demonstrated. Our simulation study and real data analysis show that the proposed model averaging method often performs better than commonly used model selection and model averaging methods in distributed data cases.