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多项Probit模型中回归系数的逆回归估计
引用本文:马建军,徐兴忠.多项Probit模型中回归系数的逆回归估计[J].应用概率统计,2008,24(5):501-512.
作者姓名:马建军  徐兴忠
作者单位:1. 沈阳理工大学理学院,沈阳,110168;北京理工大学数学系,北京,100081
2. 北京理工大学数学系,北京,100081
摘    要:本文将多项Probit模型推广到更一般的形式, 研究了推广的多项Probit模型的逆回归性质,给出了回归系数的逆回归估计方法, 并证明了在满足一些条件时估计是渐近正态的. 模拟表明逆回归估计方法有良好的表现.

关 键 词:多项Probit模型  逆回归方法  回归系数的估计  渐近正态性.

Inverse Regression Estimation for Regression Coefficient of Multinomial Probit Model
MA JIANJUN,XU XINGZHONG.Inverse Regression Estimation for Regression Coefficient of Multinomial Probit Model[J].Chinese Journal of Applied Probability and Statisties,2008,24(5):501-512.
Authors:MA JIANJUN  XU XINGZHONG
Institution:1School of Science;Shenyang Institute of Technology;Shenyang;110168;2Department of mathematics;Beijing Institute of Technology;Beijing;100081
Abstract:In this paper, we generalize the Multinomial Probit Model and investigate the inverse regression of the Generalized Multinomial Probit Model. A method of inverse regression is proposed for estimating the regression coeffcient. Under some assumptions we obtain the asymptotic normality of the estimate. The result of simulation shows that the method performs well.
Keywords:Multinomial Probit model  method of inverse regression  estimation for regression coeffcient  asymptotic normality    
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