| 基于Gibbs抽样的我国汇率可加异常值的识别 |
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| 引用本文： | 王利粉,沈霞,刘统华.基于Gibbs抽样的我国汇率可加异常值的识别[J].新乡学院学报(自然科学版),2010,27(3):21-23,31. |
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| 作者姓名： | 王利粉 沈霞 刘统华 |
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| 作者单位： | 云南师范大学,数学学院,昆明,650092 |
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| 摘 要： | 异常值会使统计分析误差增大,为了识别这些异常值,本文给出了基于Gibbs抽样识别可加异常值的方法,并用我国人民币对美元汇率的月度数据进行实证研究。
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| 关 键 词： | 可加异常值 Gibbs抽样 MCMC 汇率 |
The Identification of Additive Outliers Based on Gibbs Sampling in China's Exchange Rate Data |
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| Authors: | WANG Li-fen SHEN Xia LIU Tong-hua |
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| Institution: | (Department of Mathematics,Yunnan Normal University,Kunming 650092,China) |
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| Abstract: | Outliers can increase the statistical analysis error.In order to identify these outliers,the paper suggested a method based on Gibbs sampling to recognize additive outliers,it also carried out empirical research using the monthly data of exchange rate of RMB against the U.S.dollars. |
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| Keywords: | MCMC |
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