CAJ | 학술논문

稳健性分析是判断估计值与真实值之间差异是否重要的一种方法。限制线性模型下的极大似然估计的稳健性是当前大家比较感兴趣的一个问题。笔者在前人的基础上，给出限制线性模型中极大似然估计对随机误差协方差矩阵的稳健性统计量，并对其进行分析，得出限制线性模型中极大似然估计对随机误差协方差矩阵不敏感。
은건성분석시판단고계치여진실치지간차이시부중요적일충방법。한제선성모형하적겁대사연고계적은건성시당전대가비교감흥취적일개문제。필자재전인적기출상，급출한제선성모형중겁대사연고계대수궤오차협방차구진적은건성통계량，병대기진행분석，득출한제선성모형중겁대사연고계대수궤오차협방차구진불민감。
Robustness analysis is important to investigate the performance of estimators when some assumptions are vio-lated .It is of interest to investigate whether the restricted maximum likelihood estimates （RMLE） is sensitive to covariance misspecification .The corresponding robustness statistics are proposed and their properties are studied .MLE in linear mod-els with restricted about random error covariance matrix is not sensitive .