共查询到18条相似文献,搜索用时 859 毫秒
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描述最大似然参数估计问题,介绍如何用EM算法求解最大似然参数估计.首先给出EM算法的抽象形式,然后介绍EM算法的一个应用:求隐Markov模型中的参数估计.用EM算法推导出隐Markov模型中参数的迭代公式. 相似文献
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Pareto分布族因其厚尾特点,在金融分析、寿命分析中都是非常重要的统计模型.但是对于混合双参广义Pareto分布,在模型参数估计时,传统的矩法估计和极大似然估计在理论上可以实现,实践时比较困难.本文应用EM算法之ECM算法,研究了混合广义Pareto分布在完全数据场合下的参数估计问题,并模拟说明EM算法来估计混合广义Pareto分布是一种容易实现又非常有效的方法. 相似文献
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应用Monte Carlo EM加速算法给出了混合指数分布在恒加应力水平下,在定数截尾场合的参数估计问题,并通过模拟试验说明利用Monte Carlo EM加速算法来估计混合指数分布比EM算法更有效,收敛速度更快. 相似文献
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应用Monte Carlo EM(MCEM)算法给出了多层线性模型参数估计的新方法,解决了EM算法用于模型时积分计算困难的问题,并通过数值模拟将方法的估计结果与EM算法的进行比较,验证了方法的有效性和可行性. 相似文献
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本文研究了恒定心力加速寿命试验在获得混合分组数据情况下的参数估计问题.利用EM算法,扶得了参数极大似然估计的迭代式.该结果推广了分组数据场合下一般恒加试验的参数估计. 相似文献
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EM算法是近年来常用的求后验众数的估计的一种数据增广算法, 但由于求出其E步中积分的显示表达式有时很困难, 甚至不可能, 限制了其应用的广泛性. 而Monte Carlo EM算法很好地解决了这个问题, 将EM算法中E步的积分用Monte Carlo模拟来有效实现, 使其适用性大大增强. 但无论是EM算法, 还是Monte Carlo EM算法, 其收敛速度都是线性的, 被缺损信息的倒数所控制, 当缺损数据的比例很高时, 收敛速度就非常缓慢. 而Newton-Raphson算法在后验众数的附近具有二次收敛速率. 本文提出Monte Carlo EM加速算法, 将Monte Carlo EM算法与Newton-Raphson算法结合, 既使得EM算法中的E步用Monte Carlo模拟得以实现, 又证明了该算法在后验众数附近具有二次收敛速度. 从而使其保留了Monte Carlo EM算法的优点, 并改进了Monte Carlo EM算法的收敛速度. 本文通过数值例子, 将Monte Carlo EM加速算法的结果与EM算法、Monte Carlo EM算法的结果进行比较, 进一步说明了Monte Carlo EM加速算法的优良性. 相似文献
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As a new reliability test plan, generalized progressive
hybrid censoring can improve test efficiency by allowing experimenters to observe
a pre-specified number of failure samples before the final termination point.
Based on a class of widely used life distribution in life data analysis ---
generalized exponential distribution, this paper discusses its parameters
inference issue under generalized progressive hybrid censoring scheme. EM
Algorithm is used to estimate parameters of the considered model. Simulation
studies and a real-data analysis are carried out to illustrate the performance
of finite sample for the proposed procedure. 相似文献
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提出了一种带服务优先级车辆路径问题的模型(Vehicle Routing Problem with Precedence Constraints,VRPPC),和一种扫描—禁忌搜索算法(sweep-Taboo Search Algorithm,S-TSA).然后,运用S-TSA对郑煤物资供销有限公司的带有服务优先级的危险物资配送进行优化求解,并与扫描遗传算法(sweep-Genetic Algorithm,SGA),禁忌搜索算法(Taboo Search Algorithm,TSA),人工鱼群算法(Artificial Fish Algorithm,AFA)进行比较研究,研究结果显示:扫描禁忌搜索算法能在满足服务优先级的前提下,使配送费用最少. 相似文献
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A finite mixture model has been used to fit the data from heterogeneous populations to many applications. An Expectation Maximization (EM) algorithm is the most popular method to estimate parameters in a finite mixture model. A Bayesian approach is another method for fitting a mixture model. However, the EM algorithm often converges to the local maximum regions, and it is sensitive to the choice of starting points. In the Bayesian approach, the Markov Chain Monte Carlo (MCMC) sometimes converges to the local mode and is difficult to move to another mode. Hence, in this paper we propose a new method to improve the limitation of EM algorithm so that the EM can estimate the parameters at the global maximum region and to develop a more effective Bayesian approach so that the MCMC chain moves from one mode to another more easily in the mixture model. Our approach is developed by using both simulated annealing (SA) and adaptive rejection metropolis sampling (ARMS). Although SA is a well-known approach for detecting distinct modes, the limitation of SA is the difficulty in choosing sequences of proper proposal distributions for a target distribution. Since ARMS uses a piecewise linear envelope function for a proposal distribution, we incorporate ARMS into an SA approach so that we can start a more proper proposal distribution and detect separate modes. As a result, we can detect the maximum region and estimate parameters for this global region. We refer to this approach as ARMS annealing. By putting together ARMS annealing with the EM algorithm and with the Bayesian approach, respectively, we have proposed two approaches: an EM-ARMS annealing algorithm and a Bayesian-ARMS annealing approach. We compare our two approaches with traditional EM algorithm alone and Bayesian approach alone using simulation, showing that our two approaches are comparable to each other but perform better than EM algorithm alone and Bayesian approach alone. Our two approaches detect the global maximum region well and estimate the parameters in this region. We demonstrate the advantage of our approaches using an example of the mixture of two Poisson regression models. This mixture model is used to analyze a survey data on the number of charitable donations. 相似文献
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Chris Sherlaw-Johnson Steve Gallivan Jim Burridge 《The Journal of the Operational Research Society》1995,46(3):405-410
Markov chains are frequently used in Operational Research to describe how a system changes over time, its behaviour being governed by its transition matrix. This paper describes a technique for finding a maximum likelihood estimate for such a transition matrix when a system is observed at infrequent time intervals. The technique is called the EM Algorithm which, for this kind of problem, has distinct advantages over other methods of optimization. 相似文献
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The MTD (mixture transition distribution) model based on Weibull distribution (WMTD model) is proposed in this paper, which is aimed at its parameter estimation. An EM algorithm for estimation is given and shown to work well by some simulations. And bootstrap method is used to obtain confidence regions for the parameters. Finally, the results of a real example--predicting stock prices--show that the WMTD model proposed is able to capture the features of the data from thick-tailed distribution better than GMTD (mixture transition distribution) model. 相似文献
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本文研究了一个二元广义Weibull分布模型,其边缘分布分别是一元广义Weibull分布.利用EM算法,得到了未知参数的极大似然估计和观测Fisher信息矩阵. 相似文献
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本文根据供应链中物流配送路径的特点,建立了相应的数学模型,并提出一种混合蚁群算法,克服了传统蚁群算法时间复杂性过大的瓶颈,算法由实证表明具有良好的搜优性和可行性. 相似文献