| 多元t分布下相依回归模型参数的两步估计 |
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| 引用本文： | 刘金山. 多元t分布下相依回归模型参数的两步估计[J]. 系统科学与数学, 2003, 23(2): 198-204 |
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| 作者姓名： | 刘金山 |
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| 作者单位： | 华南农业大学理学院数学系,广州,510642 |
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| 基金项目： | 国家自然科学基金(10271033)资助课题. |
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| 摘 要： | 本文把文献中关于正态分布下相依回归模型参数Zellner估计的有限样本均方误差结果和效率结果以及两步协方差改进估计的一般均方误差结果推广到多元t分布情况,在该分布下两种估计的统计优效性质均不变.
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| 关 键 词： | 相依回归模型 多元t分布 Zellner估计 协方差改进估计. |
| 修稿时间： | 2002-12-04 |
TWO-STAGE ESTIMATORS OF SEEMINGLY UNRELATED REGRESSIONS WITH MULTIVARIATE t-DISTRIBUTION |
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| Jin Shan LIU. TWO-STAGE ESTIMATORS OF SEEMINGLY UNRELATED REGRESSIONS WITH MULTIVARIATE t-DISTRIBUTION[J]. Journal of Systems Science and Mathematical Sciences, 2003, 23(2): 198-204 |
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| Authors: | Jin Shan LIU |
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| Affiliation: | Department of Mathematics, Sciences College of South China Agricultural University,Guangzhou 510642,P.R.China |
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| Abstract: | Some results of mean square error matrix (MSEM) of the two-stage Aitken estimator introduced by Zellner (1962) in seemingly unrelated regressions (SUR) model with multinormal distribution are extended to the SUR model with a multivariate t-distribution. The exact finite sample result of MSEM of the two-stage covariance-improved estimator introduced by Liu and Wang (1999) is obtained in SUR model with the multivariate t-distribution. It is shown that the finite sample properties of the two-stage Aitken estimator and the covariance-improved estimators are all unchanged under the multivariate t-distribution. |
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| Keywords: | Seemingly unrelated regressions multivariate t-distribution Zellner's estimator covariance-improved estimator. |
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