混合非线性联合均值与方差模型的统计推断

李世凯,吴刘仓,詹金龙,易捷伊

系统科学与数学 ›› 2017, Vol. 37 ›› Issue (2) : 623-631.

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系统科学与数学 ›› 2017, Vol. 37 ›› Issue (2) : 623-631. DOI: 10.12341/jssms13089
论文

混合非线性联合均值与方差模型的统计推断

    李世凯1,吴刘仓1,詹金龙1,易捷伊2
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Mixture of Nonlinear for Joint Mean and Variance Models

    LI Shikai ,WU Liucang1 ,ZHAN Jinlong1 ,YI Jieyi2
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摘要

在异质总体中, 混合回归模型是最重要的统计数据分析工具之一. 提出了混合非线性联合均值与方差模型, 通过EM算法研究了该模型参数的极大似然估计, 并通过随机模拟实验验证了所提出方法的有效性. 最后, 结合实际数据验证了该模型和方法具有实用性和可行性.

Abstract

Mixture regression models are one of the most important statistical data analysis tools in a heterogeneous population. We propose mixture of nonlinear for joint mean and variance models in this paper and investigate the maximum likelihood estimate for unknown parameters based on expectation maximization (EM) algorithm. Furthermore, we make some simulations to show that the proposed procedure works satisfactorily. Finally, a real example is presented to illustrate the proposed methodology.

关键词

混合非线性联合均值与方差模型 / EM算法 / 极大似然估计 / 异质总体.

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李世凯 , 吴刘仓 , 詹金龙 , 易捷伊. 混合非线性联合均值与方差模型的统计推断. 系统科学与数学, 2017, 37(2): 623-631. https://doi.org/10.12341/jssms13089
LI Shikai , WU Liucang , ZHAN Jinlong , YI Jieyi. Mixture of Nonlinear for Joint Mean and Variance Models. Journal of Systems Science and Mathematical Sciences, 2017, 37(2): 623-631 https://doi.org/10.12341/jssms13089
中图分类号: 62F10    62H12   
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