| 纵向数据下混合效应EV模型中参数估计的渐近性质 |
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| 引用本文： | 刘强.纵向数据下混合效应EV模型中参数估计的渐近性质[J].数理统计与管理,2011,30(3):424-430. |
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| 作者姓名： | 刘强 |
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| 作者单位： | 首都经济贸易大学统计学院,北京,100070 |
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| 基金项目： | 国家社科基金项目资助(10CTJ001); 北京市教委社科计划项目资助(SM201110038014); 北京市属高等学校人才强教计划资助项目-中青年骨干人才培养计划; 北京市教委统计学特色专业建设资助项目 |
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| 摘 要： | 考虑纵向数据下混合效应EV模型。对带有惩罚项的Profile广义最小二乘方法进行了修正。利用矩估计法和ML-based EM算法给出了固定效应,随机效应以及协方差阵的估计。在一般的条件下,给出了固定效应估计的强相合性和渐近正态性,并对所提出的各种估计进行了模拟研究。模拟效果不错。
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| 关 键 词： | 混合效应模型 纵向数据 强相合性 渐近正态性 |
Asymptotic Properties of Estimators of Parameters for Mixed-Effects EV Model with Longitudinal Data |
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| LIU Qiang.Asymptotic Properties of Estimators of Parameters for Mixed-Effects EV Model with Longitudinal Data[J].Application of Statistics and Management,2011,30(3):424-430. |
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| Authors: | LIU Qiang |
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| Institution: | LIU Qiang (School of Statistics,Capital University of Economics and Business,Beijing 100070,China) |
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| Abstract: | A mixed-effects EV(errors-in-variables)model with longitudinal data is considered.The profile generalized least square method with a penalty is improved.By using moment estimation method and ML-based EM algorithm,the estimators of fixed effects and random effects as well as the covariance matrices are constructed.Under mild conditions,strong convergence and asymptotic normality of the parameter's estimator are investigated.The performances of the simulation are encouraging. |
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| Keywords: | mixed effects model longitudinal data strong consistency asymptotic normality |
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