相依回归系统参数的一种估计

对于一类相依回归系统（１，１），本文对回归参数β１提出一种新的改进估计，并研究了这种估计及其相应的两步估计的优良性质。     

多元广义岭估计及K值选以的Q（c）准则

当自变量间存在复共线性时，最小二乘估计就表现出不稳定并可能导致错误的结果。本采用广义岭估计β（K）来估计多元线性模型的回归系数β=vec(B),通过岭参数K值的选取 ，可使广义岭估计的均方误差MSE小于最小二乘估计的MSE。指出了广义岭估计中根据MSE准则选取K值存在的主要缺陷，采用了一种选取K值的新准则Q（c），它包含MSE准则和最小二乘LS准则作为特例，从理论上证明和讨论了Q（c）准则的优良性，阐明了c值的统计 含义，并给出了确定c值的方法。     

GENERALIZED MULTIVARIATE RIDGE REGRESSION ESTIMATE AND CRITERIA Q(e)FOR CHOOSING MATRIX K

When multicollinearity is present in a set of the regression variables,the leastsquare estimate of the regression coefficient tends to be unstable and it may lead toerroneous inference.In this paper,generalized ridge estimateβ(K)of the regression coefficientβ=vec(B)is considered in multivaiate linear regression model.The MSE of the aboveestimate is less than the MSE of the least square estimate by choosing the ridgeparameter matrix K.Moreover,it is pointed out that the Criterion MSE for choosingmatrix K of generalized ridge estimate has several weaknesses.In order to overcomethese weaknesses,a new family of criteria Q(c)is adpoted which includes the criterionMSE and criterion LS as its special case.The good properties of the criteria Q(c)areproved and discussed from theoretical point of view.The statistical meaning of thescale c is explained and the methods of determining c are also given.     

多元线性模型回归系数的压缩LS估计

本文采用压缩ＬＳ估计Ｂ（ｋ）来估计设计矩阵呈病态的多元线性模型的回归系数Ｂ。通过ｋ值的选取，可使（ｋ）＝Ｖｅｃ（（ｋ））的均方误差ＭＳＢ小于β＝Ｖ＿ｅｃ（Ｂ）的ＬＳ估计β￣＊的ＭＳＥ。证明了具有可容许性、抗干扰性和有效性，并给出了实际应用中选取ｋ值的方法。     

多元广义岭估计及K值选取的 Q(c)准则

当自变量间存在复共线性时,最小二乘估计就表现出不稳定并可能导致错误的结果.本文采用广义岭估计β(K)来估计多元线性模型的回归系数β=vec(B),通过岭参数K值的选取,可使广义岭估计的均方误差MSE小于最小二乘估计的MSE.指出了广义岭估计中根据MSE准则选取K值存在的主要缺陷,采用了一种选取K值的新准则Q(c),它包含MSE准则和最小二乘LS准则作为特例,从理论上证明和讨论了Q(c)准则的优良性,阐明了c值的统计含义,并给出了确定c值的方法.     

The compression LS estimate of regression coefficient in multivariate linear model

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Generalized multivariate ridge regression estimate and criteria q(c) for choosing matrixK

When multicollinearity is present in a set of the regression variables, the least square estimate of the regression coefficient tends to be unstable and it may lead to erroneous inference. In this paper, generalized ridge estimate β(K) of the regression coefficient β =vec(B) is considered in multivaiate linear regression model. The MSE of the above estimate is less than the MSE of the least square estimate by choosing the ridge parameter matrix K. Moreover, it is pointed out that the Criterion MSE for choosing matrix K of generalized ridge estimate has several weaknesses. In order to overcome these weaknesses, a new family of criteria Q(c) is adpoted which includes the criterion MSE and criterion LS as its special case. The good properties of the criteria Q(c) are proved and discussed from theoretical point of view. The statistical meaning of the scale c is explained and the methods of determining c are also given. The projects Supported by Natural Science Foundation of Fujian Province     

相依回归系统回归系数的待定系数估计

对于两个相依线性回归方程组成的系统(1．1)，本文提出了β1的待定系数估计β^*1（k，c)=（x′1x1 k1)^-1(x′1y1-cσ12/σ22x′1N2y2)，其中岭参数k≥0．c是待定系数．与β^*1(k，c)对应的非限定两步估计记为β^41(T，k，c)．当c=1时β^*1(k,1)=β1(k)和β^*1(T,k,1)=β1(T,k)等干[6]引入的一双有偏估计，结果表明总可以选取适当的c值和k值使β^*1(k，c)和β^*1(T,k，c)在均方误差阵准则下分别优于β1和β1(T)，并讨论了c值的最佳选择问题．