| 加权平衡损失函数下回归系数的最佳线性无偏估计 |
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| 引用本文： | 方柔月,邬吉波.加权平衡损失函数下回归系数的最佳线性无偏估计[J].应用概率统计,2014,30(3):303-312. |
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| 作者姓名： | 方柔月 邬吉波 |
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| 作者单位： | 华东师范大学金融与统计学院, 重庆文理学院数学与财经学院数据分析与图像处理重点实验室 |
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| 摘 要： | 这篇文章我们研究了回归系数的最佳线性无偏估计.
在加权平衡损失函数下, 我们得到了回归系数的最佳线性无偏估计.
同时提出了度量最佳线性无偏估计和最小二乘估计的相对效率. 并且我们给出了它们的上下界.
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| 关 键 词： | 加权平衡损失 线性估计 最佳线性无偏估计 相对效率. |
The Best Linear Unbiased Estimation of Regression Coefficient under Weighted Balanced Loss Function |
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| Fang Rouyue,Wu Jibo.The Best Linear Unbiased Estimation of Regression Coefficient under Weighted Balanced Loss Function[J].Chinese Journal of Applied Probability and Statisties,2014,30(3):303-312. |
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| Authors: | Fang Rouyue Wu Jibo |
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| Institution: | School of Finance and Statistics, East China Normal University; Key Laboratory of Data Analyzing and Image Processing, Department of Mathematics and Finance, Chongqing University of Arts and Sciences |
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| Abstract: | In this paper, the best linear unbiased estimator of
regression coefficients in the linear model is studied. Under weighted balanced
loss function the minimum risk properties of linear estimator of regression
coefficients in the class of linear unbiased estimator is discussed. Furthermore,
some kinds of relative efficiencies of the best linear unbiased estimator and
ordinary least squares estimator are given, and the lower bound or upper bound
of these relative efficiencies are also given. |
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