应用概率统计
應用概率統計
응용개솔통계
CHINESE JOURNAL OF APPLIED PROBABILITY AND STATISTICS
2009年
6期
619-631
,共13页
半相依模型%协方差改进估计%两步估计%Pitman准则.
半相依模型%協方差改進估計%兩步估計%Pitman準則.
반상의모형%협방차개진고계%량보고계%Pitman준칙.
Seemingly unrelated regression model%covariance improved estimation%two-stage estimator%Pitman criterion.
对于两个半相依回归系统的未知回归系数,本文首先借鉴文献中给出的两步协方差改进估计的方法给出两种两步协方差改进估计序列,并给出其与两步估计等价的条件和均方误差意义下的优良性;其次,我们对义献中给出的一种两步估计作简单改进,使得改进后的估计在更大的参数空间内优于最小二乘估计.再次,本文另辟蹊径,构造了一种新的估计,同样地,此估计也具有更好的小样本性质.本文最后一节讨论了Pitman准则下两步估计的优良性.
對于兩箇半相依迴歸繫統的未知迴歸繫數,本文首先藉鑒文獻中給齣的兩步協方差改進估計的方法給齣兩種兩步協方差改進估計序列,併給齣其與兩步估計等價的條件和均方誤差意義下的優良性;其次,我們對義獻中給齣的一種兩步估計作簡單改進,使得改進後的估計在更大的參數空間內優于最小二乘估計.再次,本文另闢蹊徑,構造瞭一種新的估計,同樣地,此估計也具有更好的小樣本性質.本文最後一節討論瞭Pitman準則下兩步估計的優良性.
대우량개반상의회귀계통적미지회귀계수,본문수선차감문헌중급출적량보협방차개진고계적방법급출량충량보협방차개진고계서렬,병급출기여량보고계등개적조건화균방오차의의하적우량성;기차,아문대의헌중급출적일충량보고계작간단개진,사득개진후적고계재경대적삼수공간내우우최소이승고계.재차,본문령벽혜경,구조료일충신적고계,동양지,차고계야구유경호적소양본성질.본문최후일절토론료Pitman준칙하량보고계적우량성.
For regression coefficients in seemingly unrelated regression model with two equations, this paper obtains a two-stage covariance improved estimator sequence by using the covariance improved idea for reference. The condition under which this improved estimator is equivalent to the classic two-stage estimator and the optimal property on the term of mean square error are also obtained. And then, by improving the two-stage estimator in the literature, this paper derives a new improved estimator which shows small sample property relative to least square estimator in more wide parameters space. Through a ultimate way, this paper provides a new estimator which have better small sample property. Finally, this paper discusses the optimal property of two-stage estimator under the Pitman criterion.
