| 多元协方差阵扰动模型岭估计的影响分析 |
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| 引用本文： | 张尚立,覃红.多元协方差阵扰动模型岭估计的影响分析[J].数学杂志,2010,30(1). |
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| 作者姓名： | 张尚立 覃红 |
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| 作者单位： | 1. 北京交通大学数学系,北京,100044
2. 华中师范大学数学与统计学院,湖北,武汉,430079 |
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| 基金项目： | 国家自然科学基金项目基金资助，北京交通大学校基金资助 |
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| 摘 要： | 本文研究了多元线性同归模型岭估计的影响分析问题.利用最小二乘估计方法,获得了多元协方差阵扰动模型与原模型参数阵之间的岭估计的一些关系式,给出了度量影响大小的基于岭估计的广义Cook距离.
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| 关 键 词： | 多元线件回归模型 协方差阵扰动 岭估计 广义Cook距离 |
INFLUENCE ANALYSIS ON RIDGE ESTIMATOR IN MULTIVARIATE REGRESSION MODEL WITH COVARIANCE MATRIX DISTURBANCE |
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| ZHANG Shang-li,QIN Hong.INFLUENCE ANALYSIS ON RIDGE ESTIMATOR IN MULTIVARIATE REGRESSION MODEL WITH COVARIANCE MATRIX DISTURBANCE[J].Journal of Mathematics,2010,30(1). |
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| Authors: | ZHANG Shang-li QIN Hong |
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| Institution: | ZHANG Shang-li~1,QIN Hong~2 (1.Dept.of Math.,Beijing Jiaotong University,Beijing 100044,China) (2.School of Math., Statistics,Huazhong Normal University,Wuhan 430079,China) |
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| Abstract: | In this article,the issue of influence analysis on ridge estimator in multivariate regression model is studied.By using ridge estimator,the relationship of ridge estimators with respect to unknown parameter matrix among different multivariate regression models is established.The generalized Cook distance is also defined,which may be used to assess the disturbance influence. |
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| Keywords: | multivariate regression model covariance matrix disturbance ridge estimator generalized cook distance |
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