基于最小化复合分位损失函数的尺度参数估计和异质性检验

苏鹏,田茂再

系统科学与数学 ›› 2018, Vol. 38 ›› Issue (9) : 1055-1066.

PDF(645 KB)
PDF(645 KB)
系统科学与数学 ›› 2018, Vol. 38 ›› Issue (9) : 1055-1066. DOI: 10.12341/jssms13437
论文

基于最小化复合分位损失函数的尺度参数估计和异质性检验

    苏鹏1,田茂再1,2,3
作者信息 +

Scale-Parameter Estimation and Heteroscedasticity Detection Based on Minimizing the Composite Quantile Loss

    SU Peng1 ,TIAN Maozai 1,2,3
Author information +
文章历史 +

摘要

在进行回归分析时, 对误差项离散程度的度量是一个重要话题.文章利用最小化复合分位损失的方法, 对误差项的尺度参数进行估计, 并证明估计量的大样本性质.进一步的研究表明:通过选取合适的分位数, 能得到尺度参数的最优估计,并以此进行异质 性检验.模拟结果表明, 在重尾条件下所提出的方法有更高的精度.实际数据应用体现了该方法的良好性能.

Abstract

When it comes to regression analysis, the measurement of residuals' scale is an important issue. In this paper, we propose an estimator of the scale-parameter of residuals by minimizing the composite quantile loss function and prove its large sample properties. Further research shows that by selecting appropriate quantiles, we could optimize the proposed estimator. The heteroscedasticity is tested based on the resulting estimators results. Simulation shows that the method is more effective in estimating the scale-parameter and testing heteroscedasticity compared with other methods under the setting of heavy-tailed distributions. Applications of this method to real data show its good performance.

关键词

复合分位损失 / 尺度参数估计 / 异质性检验.

引用本文

导出引用
苏鹏 , 田茂再. 基于最小化复合分位损失函数的尺度参数估计和异质性检验. 系统科学与数学, 2018, 38(9): 1055-1066. https://doi.org/10.12341/jssms13437
SU Peng , TIAN Maozai. Scale-Parameter Estimation and Heteroscedasticity Detection Based on Minimizing the Composite Quantile Loss. Journal of Systems Science and Mathematical Sciences, 2018, 38(9): 1055-1066 https://doi.org/10.12341/jssms13437
PDF(645 KB)

287

Accesses

0

Citation

Detail

段落导航
相关文章

/