| 相依非线性回归系统中的附加信息Bayes拟似然 |
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| 引用本文： | 林路.相依非线性回归系统中的附加信息Bayes拟似然[J].数学学报,2002,45(6):1227-123. |
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| 作者姓名： | 林路 |
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| 作者单位： | 南开大学数学科学学院统计学系,天津,300071 |
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| 基金项目： | 国家自然科学基金资助项目（10171051），南开大学青年教师基金资助项目 |
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| 摘 要： | 对多个相依统计模型的研究,现有成果主要集中在相依线性回归系统.本文则首次提出多个相依非线性回归系统中的附加信息Bayes拟似然,给出误差相关信息和先验信息在拟似然中的迭加方法,在较弱的条件下得到附加信息Bayes拟似然的一些性质,在Bayes风险准则下。讨论了其估计函数和参数估计的最优性,证明了附加信息Bayes拟似然的渐近 Bayes风险随着相依信息的增力。而逐步减少.
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| 关 键 词： | 相依非线性回归系统 拟似然 附加信息Bayes拟似然 |
| 文章编号： | 0583-1431(2002)06-1227-08 |
| 修稿时间： | 2001年3月21日 |
Bayes Quasi-Likelihood with Auxiliary Information in Seemingly Unrelated Nonlinear Regression Systems |
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| Lu LIN.Bayes Quasi-Likelihood with Auxiliary Information in Seemingly Unrelated Nonlinear Regression Systems[J].Acta Mathematica Sinica,2002,45(6):1227-123. |
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| Authors: | Lu LIN |
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| Institution: | Lu LIN(Department of Statistics, School of Mathematical Sciences, Nankai University, Tianjin 300071, P. R. China) |
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| Abstract: | Abstract It is well known that the recent theory on seemingly unrelated statistical sys-tems focuses mainly on linear regression systems. In this paper, we originate a Bayes quasi-likelihood with auxiliary information in some seemingly unrelated nonlinear re-gression systems. The method for iteratively adding related error information and prior information to an estimator is obtained. The optimal properties of its score function and parameter estimation based on the Bayes risk are discussed. It is shown that the asymptotic Bayes risk of Bayes quasi-likelihood estimation with auxiliary information decreases gradually with the increase of auxiliary information. |
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| Keywords: | Seemingly unrelated regression system Quasi-likelihood Bayes quasi-likeli-hood with auxiliary information |
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