半参数回归模型的几乎无偏岭估计

胡宏昌

系统科学与数学 ›› 2009, Vol. 29 ›› Issue (12) : 1605-1612.

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中国科学院数学与系统科学研究院期刊网
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系统科学与数学 ›› 2009, Vol. 29 ›› Issue (12) : 1605-1612. DOI: 10.12341/jssms08489
论文

半参数回归模型的几乎无偏岭估计

    胡宏昌
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Almost Unbiased Ridge Estimators in a Semiparametric Regression Model

    HU Hongchang
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文章历史 +

摘要

提出了半参数回归模型的几乎无偏岭估计，并与岭估计进行了比较,在均方误差意义下，几乎无偏岭估计优于岭估计. 然后讨论了有偏参数的选取问题. 最后，用模拟算例和实际应用说明了几乎无偏岭估计的有效性和可行性.

Abstract

A semiparametric regression model is considered, and the almost unbiased ridge estimators (AURR) of both parameters and nonparameters is introduced without a restrained design matrix. The AURR is compared with ridge estimator (RR) under a mean square error (MSE), the result shows that the former excels the latter,
and the optimal value for the biased parameter is established by minimum MSE.
The validity and feasibility of AURR are demonstrated by a simulation example.

关键词

半参数回归模型 / 几乎无偏岭估计 / 均方误差 / 小波核.

Key words

Semiparametric regression model / almost unbiased ridge estimator / mean square error / wavelet kernel.

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胡宏昌. 半参数回归模型的几乎无偏岭估计. 系统科学与数学, 2009, 29(12): 1605-1612. https://doi.org/10.12341/jssms08489
HU Hongchang. Almost Unbiased Ridge Estimators in a Semiparametric Regression Model. Journal of Systems Science and Mathematical Sciences, 2009, 29(12): 1605-1612 https://doi.org/10.12341/jssms08489
中图分类号： 62G05   
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