共查询到19条相似文献,搜索用时 93 毫秒
1.
2.
3.
在线性回归模型建模中, 回归自变量选择是一个受到广泛关注、文献众多,
具有很强的理论和实际意义的问题. 回归自变量选择子集的相合性是其中一个重要问题,
如果某种自变量选择方法选择的子集在样本量趋于无穷时是相合的, 而且预测均方误差较小,
则这种方法是可取的. 利用BIC准则可以挑选相合的自变量子集, 但是在自变量个数很多时计算量过大;
适应lasso方法具有较高计算效率, 也能找到相合的自变量子集; 本文提出一种更简单的自变量选择方法,
只需要计算两次普通线性回归: 第一次进行全集回归, 得到全集的回归系数估计,
然后利用这些回归系数估计挑选子集,
然后只要在挑选的自变量子集上再进行一次普通线性回归就得到了回归结果.
考虑如下的回归模型:
其中回归系数中非零分量下标的集合为,
设是本文方法选择的自变量子集下标集合,
是本文方法估计的回归系数(未选中的自变量对应的系数为零),
本文证明了, 在适当条件下,
其中表示的
分量下标在中的元素的组成的向量, 是误差方差, 是与
矩阵极限有关的矩阵和常数.
数值模拟结果表明本文方法具有很好的中小样本性质. 相似文献
4.
5.
在本文中, 我们主要讨论了广义Cox模型的信息流扩大问题.
假设在市场中有两类投资者, 第一类投资者拥有市场信息,
这里由一个维的布朗运动和一个可积随机
测度驱动; 而第二类投资者具有扩大的信息流,
这里假设是由信息流和广义Cox的模型刻画的违约信息流生成.
我们建立和刻画了广义Cox模型并且求给出它的主要性质包括生存过程和违约条件密度.
与Cox模型显著区别的是, 如果违约由广义Cox模型模型刻画, 与Cox模型平凡的结果不同的是,
鞅的分解更复杂和具有一般性. 相似文献
6.
7.
8.
作者讨论了-混合随机变量阵列
加权和的矩完全收敛性, 所获得的结果改进了邱德华(2011)的相应结果. 相似文献
9.
本文对两个样本数据不完全的线性模型展开讨论,
其中线性模型协变量的观测值不缺失, 响应变量的观测值随机缺失(MAR).
我们采用逆概率加权填补方法对响应变量的缺失值进行补足, 得到两个线性回归模型``完全'样本数据,
在``完全'样本数据的基础上构造了响应变量分位数差异的对数经验似然比统计量.
与以往研究结果不同的是本文在一定条件下证明了该统计量的极限分布为标准,
降低了由于权系数估计带来的误差, 进一步构造出了精度更高的分位数差异的经验似然置信区间. 相似文献
10.
定数截尾两参数指数——威布尔分布形状参数的Bayes估计 总被引:2,自引:0,他引:2
在不同的损失函数下,本文研究了两参数指数—威布尔分布(EWD)形状参数的Bayes估计问题.基于定数截尾试验,当其中一个形状参数α已知时,给出了另一个形状参数θ在三种不同损失函数下的Bayes估计表达式,并求得了可靠度函数的Bayes点估计.最后运用随机模拟方法,将Bayes估计和极大似然估计进行了比较.结果表明,LINEX损失下Bayes估计的精度比极大似然估计高. 相似文献
11.
Dominique Fourdrinier William E. Strawderman 《Annals of the Institute of Statistical Mathematics》2003,55(4):803-816
We consider estimation of loss for generalized Bayes or pseudo-Bayes estimators of a multivariate normal mean vector, θ. In
3 and higher dimensions, the MLEX is UMVUE and minimax but is inadmissible. It is dominated by the James-Stein estimator and by many others. Johnstone (1988,
On inadmissibility of some unbiased estimates of loss,Statistical Decision Theory and Related Topics, IV (eds. S. S. Gupta and J. O. Berger), Vol. 1, 361–379, Springer, New York) considered the estimation of loss for the usual
estimatorX and the James-Stein estimator. He found improvements over the Stein unbiased estimator of risk. In this paper, for a generalized
Bayes point estimator of θ, we compare generalized Bayes estimators to unbiased estimators of loss. We find, somewhat surprisingly,
that the unbiased estimator often dominates the corresponding generalized Bayes estimator of loss for priors which give minimax
estimators in the original point estimation problem. In particular, we give a class of priors for which the generalized Bayes
estimator of θ is admissible and minimax but for which the unbiased estimator of loss dominates the generalized Bayes estimator
of loss. We also give a general inadmissibility result for a generalized Bayes estimator of loss.
Research supported by NSF Grant DMS-97-04524. 相似文献
12.
13.
Empirical Bayes approach to estimation of many parameters is considered. Special features of the techniques discussed are: (i) the handling of unequal sample sizes at various stages of an Empirical Bayes sampling scheme and (ii) a general iterative procedure for estimating the parameters of a parametric prior distribution based on the likelihood approach. Linear empirical Bayes estimation is also considered. Application of the general techniques is demonstrated with special reference to a multinomial data distribution. 相似文献
14.
基于Bayes估计的金融风险值——VaR计算 总被引:1,自引:0,他引:1
初步研究了用Bayes估计计算金融风险值VaR,同时阐明了运用极值理论方法在Bayes估计下的金融风险值计算。并且借助统计计算方法——MCMC算法来求解参数的Bayes估计,有效的将Bayes思想融入到了VaR的计算中。用Bayes估计计算金融风险值VsR,可以帮助投资者将观测数据和自己所掌握的经验信息对VaR模型进行调整,使得vsR模型能够更准确地反映出金融市场的风险状况,据此做出更加正确的投资决策。 相似文献
15.
I. Barranco-Chamorro J.L. Moreno-Rebollo 《Journal of Mathematical Analysis and Applications》2008,341(1):346-356
In this paper two measures to highlight the possible effect of an observation on the UMVU estimate are proposed. Our study is based in expansions in terms of orthogonal polynomials for the UMVUE when sampling from a NEF-QVF. We obtain the conditional bias and the asymptotic mean sensitivity curve (AMSC) for the UMVUE. We observe that these measures depend on parametric function under consideration at the true and unknown value of the parameter. We study in detail their properties and relationships as well as to the Hampel's influence function. In fact, we note that the AMSC also verifies for the UMVUE in the NEF-QVF some of most relevant properties of influence function. Also a case-deletion influence diagnostic and some simulations are included to illustrate our results. 相似文献
16.
Tristan Senga Kiessé Nabil Zougab Célestin C. Kokonendji 《Computational Statistics》2016,31(1):189-206
This work takes advantage of semiparametric modelling which improves significantly in many situations the estimation accuracy of the purely nonparametric approach. Herein for semiparametric estimations of probability mass function (pmf) of count data, and an unknown count regression function (crf), the kernel used is a binomial one and the bandiwdth selection is investigated by developing Bayesian approaches. About the latter, Bayes local and global bandwidth approaches are used to establish data-driven selection procedures in semiparametric framework. From conjugate beta prior distributions of the smoothing parameter and under the squared errors loss function, Bayes estimate for pmf is obtained in closed form. This is not available for the crf which is computed by the Markov Chain Monte Carlo technique. Simulation studies demonstrate that both proposed methods perform better than the classical cross-validation procedures, in particular the smoothing quality and execution times are optimized. All applications are made on real data sets. 相似文献
17.
In some invariant estimation problems under a group, the Bayes estimator against an invariant prior has equivariance as well. This is useful notably for evaluating the frequentist risk of the Bayes estimator. This paper addresses the problem of estimating a matrix of means in normal distributions relative to quadratic loss. It is shown that a matricial shrinkage Bayes estimator against an orthogonally invariant hierarchical prior is admissible and minimax by means of equivariance. The analytical improvement upon every over-shrinkage equivariant estimator is also considered and this paper justifies the corresponding positive-part estimator preserving the order of the sample singular values. 相似文献
18.
定数双截尾样本下k/N(G)系统可靠性指标的经验Bayes估计 总被引:3,自引:0,他引:3
在定数双截尾样本下,研究了不可修k/N(G)系统可靠性指标的估计问题.将Bayes方法和极大似然法相结合获得了部件失效率、系统可靠度和平均寿命的经验Bayes估计.最后给出随机模拟例子,说明了本文方法的正确性. 相似文献
19.
This paper treats the problem of estimating the restricted means of normal distributions with a known variance, where the means are restricted to a polyhedral convex cone which includes various restrictions such as positive orthant, simple order, tree order and umbrella order restrictions. In the context of the simultaneous estimation of the restricted means, it is of great interest to investigate decision-theoretic properties of the generalized Bayes estimator against the uniform prior distribution over the polyhedral convex cone. In this paper, the generalized Bayes estimator is shown to be minimax. It is also proved that it is admissible in the one- or two-dimensional case, but is improved on by a shrinkage estimator in the three- or more-dimensional case. This means that the so-called Stein phenomenon on the minimax generalized Bayes estimator can be extended to the case where the means are restricted to the polyhedral convex cone. The risk behaviors of the estimators are investigated through Monte Carlo simulation, and it is revealed that the shrinkage estimator has a substantial risk reduction. 相似文献