错误先验指定下Bayes估计与广义最小二乘估计的相对效率

J4 ›› 2010, Vol. 45 ›› Issue (9): 70-73.

• 第十届中国Rough集与软计算学术会议专栏 • 上一篇下一篇

错误先验指定下Bayes估计与广义最小二乘估计的相对效率

周小双^1,2

1. 德州学院数学系, 山东德州 253023; 2. 山东大学数学科学学院, 山东济南 250100

收稿日期:2010-03-02 出版日期:2010-09-16 发布日期:2010-10-12
作者简介:周小双(1981-),女,博士研究生,讲师,研究方向为非参数统计.Email: xiaoshuang1227@126.com

Relative efficiencies of Bayes estimator and generalized least square estimator under misspecified prior assumption

ZHOU Xiao-shuang^1,2

1. Department of Mathematics, Dezhou University, Dezhou 253023, Shandong, China;
2. School of Mathematics and system science, Shandong University, Jinan 250100, Shandong, China

Received:2010-03-02 Online:2010-09-16 Published:2010-10-12

摘要/Abstract

摘要：

讨论了在错误指定的先验假定下一般线性模型中回归系数的Bayes估计,提出了Bayes估计与广义最小二乘估计(generalized least square estimator,GLSE)的一种新的相对效率,证明了该效率的优良性质,同时导出了其上下界。

关键词: 线性模型;贝叶斯估计;广义最小二乘估计;错误先验假定;相对效率

Abstract:

Bayes estimator of regression coefficients under misspecified prior assumption was discussed,and a new relative efficiency of Bayes estimator and GLSE(generalized least square estimator) was proposed. Also, some better properties of the new relative efficiency were proved and its upper and lower bounds were obtained.

Key words: linear model; Bayes estimator; generalized least square estimator; misspecified prior assumption; relative efficiency

周小双1,2. 错误先验指定下Bayes估计与广义最小二乘估计的相对效率[J]. J4, 2010, 45(9): 70-73.

ZHOU Xiao-shuang1,2. Relative efficiencies of Bayes estimator and generalized least square estimator under misspecified prior assumption[J]. J4, 2010, 45(9): 70-73.

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错误先验指定下Bayes估计与广义最小二乘估计的相对效率

Relative efficiencies of Bayes estimator and generalized least square estimator under misspecified prior assumption

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