线性模型和线性EV模型中的T-型回归估计和EM算法

崔恒建 已出版文章查询
崔恒建
本平台内已出版文章查询
1

+ 作者地址

1北京师范大学数学科学学院,统计数据分析实验室,北京,100875


0
  • 摘要
  • 参考文献
  • 相关文章
  • 统计
本文对于线性函数关系EV模型定义了t-型回归估计,并对于普通线性模型和线性函数关系EV模型给出了计算t-型回归估计的EM算法,同时获得了估计的相合性.模拟结果表明由EM算法获得的t-型回归估计的表现良好.

[1] Amemiya Y;Fuller W.Estimation for the multivariate errors-in-variables model with estimated error covariance matrix[J].Annals of Statistics,1984(02):497-509.

[2] Cui H J.Asymptotic normality of M-estimates in the EV model[J].Journal of Systems Science and Mathematical Science,1997(10):225-236.

[3] Cui H J .Asymptotic properties of generalized MAD estimators in EV model[J].Science in China Ser A,1997,27:119-131.

[4] Cui H J .T-type regression and L1,L2 approaches[J].Application of Statistics and Management(Special Issue),2005,25:5-10.

[5] Cui H J .On asymptotics of t-type regression estimation in multiple linear model[J].Science in China Ser A,2004,34:361-372.

[6] Chen X R;Zhao L C.M-methods in Linear Model[M].上海:上海科学技术出版社,1996

[7] Fuller W A.Measurement Error Model[M].New York:John Wiley and Sons Inc,1987

[8] Delyon B;Lavielle M;Moulines E.Convergence of stochastic approximation version of the EM algorithm[J].Annals of Statistics,1999(01):94-128.

[9] Dempster A P;Laird N M;Rubin D B.Maximum likelihood from incomplete data via the EM algorithm (with discussion)[J].Journal of the Royal Statistical Society,1977(02):911-924.

[10] Fuller W A.Properties of some estimators for the errors-in-variables model[J].Annals of Statistics,1980(02):407-422.

[11] Gleser L J.Estimation in a multivariate "errors in variables" regression model:large sample results[J].Annals of Statistics,1981(01):24-44.

[12] He XM.;Wang GY.;Simpson DG. .Breakdown points of t-type regression estimators[J].Biometrika,2000(3):675-687.

[13] He X M;Cui H J;Simpson D .Longitudinal data analysis using t-type regression[J].Journal of Statistical Planning and Inference,2004,122:253-269.

[14] Lange K L;Little R J A;Taylor J M G .Robust statistical modeling using the t distribution[J].Journal of the American Statistical Association,1989,84:881-896.

[15] Maronna R A.Robust M-estimators of multivariate location and scatter[J].Annals of Statistics,1976(04):51-67.

[16] Ruppert D;Carroll R J .Trimmed least squares estimation in the linear model[J].Journal of the American Statistical Association,1980,75:828-838.

[17] Wu C F J.On the convergence properties of the EM algorithm[J].Annals of Statistics,1983(01):95-103.


DOI: http://dx.doi.org/10.3969/j.issn.1001-4268.2006.03.013

语种: 中文   

基金国家自然科学基金(10231030)

关键词EM算法 EV模型 t-分布 t-型回归估计 MLE


期刊热词
  • + 更多
  • 字体大小