| 广义t分布的EM估计 |
| |
| 引用本文： | 王会战.广义t分布的EM估计[J].陕西理工学院学报(自然科学版),2011,27(3):51-55. |
| |
| 作者姓名： | 王会战 |
| |
| 作者单位： | 陕西理工学院数学系,陕西汉中,723001 |
| |
| 基金项目： | 陕西理工学院科研基金资助项目(SLGKY10-06) |
| |
| 摘 要： | 在广义t分布的自由度参数未知时,自由度参数的最大似然估计不存在,而矩估计和最大似然估计不相合。通过建立广义t分布和正态混合分布之间的关系,能够在不完全数据框架下讨论自由度参数的最大似然估计。给出了广义t分布的Bayes分层表达,证明了参数的共轭先验和两类隐变量的数学期望。讨论并分析了广义t分布的EM类算法及估计的标准差的计算。通过Monte Carlo模拟,分析了广义t分布的参数估计问题。
|
| 关 键 词： | 广义t分布 参数估计 无限混合正态分布 EM算法 标准差 |
EM estimation of generalized t distributions |
| |
| WANG Hui-zhan.EM estimation of generalized t distributions[J].Journal of Shananxi University of Technology:Natural Science Edition,2011,27(3):51-55. |
| |
| Authors: | WANG Hui-zhan |
| |
| Institution: | WANG Hui-zhan (Department of Mathematical Sciences,Shaanxi University of Technology,Hanzhong 723001,China) |
| |
| Abstract: | Under the assumption that the degree of freedom parameter(df) of the generalized t distributions is unknown,the maximum likelihood estimator(MLE) of df does not exist,the moment estimator is inconsistent with MLE.The generalized t distributions are an infinite mixture of Normal distribution from incomplete data perspectives.The hierarchical bayesian models of the generalized t distributions were discussed,and the expectations of two latent variables were obtained.The EM-type algorithm of the generalized t d... |
| |
| Keywords: | generalized t distribution parameter estimates infinite mixture of normal distribution EM algorithm standard errors |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
