| 生长曲线模型的惩罚最小二乘估计 |
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| 引用本文： | 高采文,朱晓琳,曾林蕊. 生长曲线模型的惩罚最小二乘估计[J]. 经济数学, 2014, 0(2): 102-105 |
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| 作者姓名： | 高采文 朱晓琳 曾林蕊 |
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| 作者单位： | 山西大同大学数学与计算机科学学院;华东师范大学金融与统计学院; |
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| 基金项目： | 山西大同大学科研项目(2014K1);国家统计局重点科研项目(2011LZ051)资助 |
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| 摘 要： | 主要考虑了生长曲线模型中的参数矩阵的估计.首先基于Potthoff-Roy变换后的生长曲线模型,采用不同的惩罚函数:Hard Thresholding函数,LASSO,ENET,改进LASSO,SACD给出了参数矩阵的惩罚最小二乘估计.接着对不做变换的生长曲线模型,直接定义其惩罚最小二乘估计,基于Nelder-Mead法给出了估计的数值解算法.最后对提出的参数估计方法进行了数据模拟.结果表明自适应LASSO在估计方面效果比较好.
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| 关 键 词： | 惩罚最小二乘估计 Hard Thresholding函数 SCAD惩罚函数 改进LASSO |
Penalized Least Squares Estimation of Growth Curve Model |
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| GAO Cai-wen,ZHU Xiao-lin,ZENG Lin-rui. Penalized Least Squares Estimation of Growth Curve Model[J]. Mathematics in Economics, 2014, 0(2): 102-105 |
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| Authors: | GAO Cai-wen ZHU Xiao-lin ZENG Lin-rui |
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| Affiliation: | 1. School of Mathematics and Computre Science, Shanaxi Datong University, Datong , Shanxi 037009 ,China; 2. School of Finance and Statistics, East China Normal University, Shanghai 200241 ,China ) |
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| Abstract: | This paper studied the estimation of parameter matrix in the growth curve model.Based on the Potthoff-Roy transform of the growth curve model,and by using different penalty functions：Hard Thresholding function,LASSO, ENET,LASSO,SACD,the penalized least estimation of parameter matrix was given.Then the penalized least squares estimation was defined directly on the growth curve model.The numerical solution algorithm for the estimation was proposed based on the Nelder-Mead method.Finally,the methods for the parameter estimation were simulated.The results show that the adaptive LASSO is better in the estimation results. |
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| Keywords: | penalized least squares estimator hard thresholding function penalty function SCAD avdaptive LASSO |
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