共查询到20条相似文献,搜索用时 140 毫秒
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利用重复观测数据和加权方法给出了有重复观测时变系数一维线性结构关系EV模型中的参数估计,证明了估计的弱相合性和强相合性. 相似文献
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本文讨论在数据是强相依的情况下函数系数部分线性模型的估计.首先,采用局部线性方法,给出该模型函数项函数的估计;然后,使用两阶段方法给出系数函数的估计.并且讨论了函数项函数估计的渐近正态性,以及系数函数估计的弱相合性和渐近正态性.模拟研究显示,这些估计是较为理想的. 相似文献
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该文研究了响应变量缺失下半参数部分非线性变系数EV模型的统计推断问题,利用逆概率加权局部纠偏profile最小二乘法构造了模型中非参数分量和参数分量的估计,证明了估计量的渐近正态性.通过数值模拟和实际数据分析,验证了所提出的估计方法是有效的. 相似文献
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缺失数据下线性EV模型的参数估计 总被引:4,自引:0,他引:4
给出EV模型下数据具有随机缺失时,模型参数的一种估计方法,并以一个简单模型为例给出了这种新估计的渐近正态性的具体结果.模拟研究表明,即使在有限样本情形,提出的方法在估计效率上也具有一定优势. 相似文献
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半参数EV模型参数的二阶段估计 总被引:2,自引:0,他引:2
本文综合核函数法 ,最小二乘法 ,利用二阶段估计的方法求出了 EV模型中参数的估计量 ,并研究了它的强相合性以及渐近正态性 . 相似文献
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在随机设计条件下,提出了一类变系数联立模型,运用局部线性广义矩变窗宽估计,对模型的变系数进行了估计,研究了估计量的大样本性质.利用概率论中大数定律和中心极限定理,证明了估计量的大样本性质,局部线性广义矩变窗宽估计具有相合性和渐进正态性. 相似文献
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In this paper, the parameters of a p-dimensional linear structural EV (error-in-variable) model are estimated when the coefficients vary with a real variable and the model error is time series. The adjust weighted least squares (AWLS) method is used to estimate the parameters. It is shown that the estimators are weakly consistent and asymptotically normal, and the optimal convergence rate is also obtained. Simulations study are undertaken to illustrate our AWLSEs have good performance. 相似文献
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CUI HengjianDepartment of Mathematics Statistical Data Analysis Laboratory Beijing Normal University Beijing China 《中国科学A辑(英文版)》2004,47(1):144-159
The aim of this work is to construct the parameter estimators in the partial linear errors-in-variables (EV) models and explore their asymptotic properties. Unlike other related references, the assumption of known error covariance matrix is removed when the sample can be repeatedly drawn at each designed point from the model. The estimators of interested regression parameters, and the model error variance, as well as the non-parametric function, are constructed. Under some regular conditions, all of the estimators prove strongly consistent. Meanwhile, the asymptotic normality for the estimator of regression parameter is also presented. A simulation study is reported to illustrate our asymptotic results. 相似文献
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A comparison of asymptotic covariance matrices of three consistent estimators in the Poisson regression model with measurement errors 总被引:2,自引:0,他引:2
We consider a Poisson model, where the mean depends on certain covariates in a log-linear way with unknown regression parameters. Some or all of the covariates are measured with errors. The covariates as well as the measurement errors are both jointly normally distributed, and the error covariance matrix is supposed to be known. Three consistent estimators of the parameters—the corrected score, a structural, and the quasi-score estimators—are compared to each other with regard to their relative (asymptotic) efficiencies. The paper extends an earlier result for a scalar covariate. 相似文献
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Jixue LIU 《数学年刊B辑(英文版)》2006,27(6):675-682
Though EV model is theoretically more appropriate for applications in which measurement errors exist, people are still more inclined to use the ordinary regression models and the traditional LS method owing to the difficulties of statistical inference and computation. So it is meaningful to study the performance of LS estimate in EV model. In this article we obtain general conditions guaranteeing the asymptotic normality of the estimates of regression coefficients in the linear EV model. It is noticeable that the result is in some way different from the corresponding result in the ordinary regression model. 相似文献
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The Superiorities of Simultaneous Empirical Bayes Estimation for the Regression Coefficients and Error-Variance in Linear Model 下载免费PDF全文
When the hyperparameters of prior
distribution are partly known in linear model, the simultaneous
parametric empirical Bayes estimators (PEBE) of the regression
coefficients and error variance are constructed. The superiority of
PEBE over the least squares estimator (LSE) of regression
coefficients is investigated in terms of the the mean square error
matrix (MSEM) criterion, and the superiority of PEBE over LSE of the
error variance is discussed under the the mean square error (MSE)
criterion. Finally, when all hyperparameters are unknown, the PEBE
of regression coefficients and error variance are reconstructed and
the superiority of them over LSE under the MSE criterion are studied
by simulation methods. 相似文献
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This work presents a Bayesian semiparametric approach for dealing with regression models where the covariate is measured with error. Given that (1) the error normality assumption is very restrictive, and (2) assuming a specific elliptical distribution for errors (Student-t for example), may be somewhat presumptuous; there is need for more flexible methods, in terms of assuming only symmetry of errors (admitting unknown kurtosis). In this sense, the main advantage of this extended Bayesian approach is the possibility of considering generalizations of the elliptical family of models by using Dirichlet process priors in dependent and independent situations. Conditional posterior distributions are implemented, allowing the use of Markov Chain Monte Carlo (MCMC), to generate the posterior distributions. An interesting result shown is that the Dirichlet process prior is not updated in the case of the dependent elliptical model. Furthermore, an analysis of a real data set is reported to illustrate the usefulness of our approach, in dealing with outliers. Finally, semiparametric proposed models and parametric normal model are compared, graphically with the posterior distribution density of the coefficients. 相似文献
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Consider a varying-coefficient single-index model which consists of two parts: the linear part with varying coefficients and the nonlinear part with a single-index structure, and are hence termed as varying-coefficient single-index models. This model includes many important regression models such as single-index models, partially linear single-index models, varying-coefficient model and varying-coefficient partially linear models as special examples. In this paper, we mainly study estimating problems of the varying-coefficient vector, the nonparametric link function and the unknown parametric vector describing the single-index in the model. A stepwise approach is developed to obtain asymptotic normality estimators of the varying-coefficient vector and the parametric vector, and estimators of the nonparametric link function with a convergence rate. The consistent estimator of the structural error variance is also obtained. In addition, asymptotic pointwise confidence intervals and confidence regions are constructed for the varying coefficients and the parametric vector. The bandwidth selection problem is also considered. A simulation study is conducted to evaluate the proposed methods, and real data analysis is also used to illustrate our methods. 相似文献
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本文对于线性函数关系EV模型定义了$t$\,-型回归估计, 并对于普通线性模型和线性函数关系EV模型给出了计算$t$\,-型回归估计的EM算法, 同时获得了估计的相合性\bd 模拟结果表明由EM算法获得的$t$\,-型回归估计的表现良好. 相似文献
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We consider an Error-in-Variable partially linear model where the covariates of linear part are measured with error which follows a normal distribution with a known covariance matrix. We propose a corrected-loss estimation of the covariate effect. The proposed estimator is asymptotically normal. Simulation studies are presented to show that the proposed method performs well with finite samples, and the proposed method is applied to a real data set. 相似文献
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One or few observations can be highly influential on estimates of regression coefficients in the linear regression model.
In this paper we derive influence diagnostics for the varying coefficients model with longitudinal data. We note that diagnostics
in this context is quite different from the classical regression model in the sense that regression coefficients vary as time
varies. A version of Cook’s distance is suggested to reflect this specific aspect of varying coefficient model. An algorithm
to present some guidelines to determine influential observations deserving special attention is developed. An illustrative
example based on the AIDS data is also given. 相似文献