| 马氏转移对数正态模型参数置信区间的Bootstrap估计 |
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| 引用本文： | 陈明镜. 马氏转移对数正态模型参数置信区间的Bootstrap估计[J]. 四川理工学院学报(自然科学版), 2010, 23(3): 267-269 |
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| 作者姓名： | 陈明镜 |
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| 作者单位： | 西华师范大学数学与信息学院,四川,南充,637002 |
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| 摘 要： | 马氏状态转移对数正态模型参数的区间估计很难得到。文章提出的Bootstrap法不仅能在Excel环境下克服似然函数关于参数求导以及求导后对随机变量求期望的困难,而且能弥补使用费希尔信息量的倒数I(Θ)-1低估估计量波动的缺陷,同时能方便地得到估计量的分布和协差阵,为研究模型系数估计的稳定性提供了切实可靠的统计方法。
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| 关 键 词： | RSLN模型 Bootstrap法 置信区间 费希尔信息 |
Confidence in Parameters' Interval of Markov Regime Switching Lognormal Model Based on Bootstrap Method |
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| CHEN Ming-jing. Confidence in Parameters' Interval of Markov Regime Switching Lognormal Model Based on Bootstrap Method[J]. Journal of Sichuan University of Science & Engineering(Natural Science Editton), 2010, 23(3): 267-269 |
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| Authors: | CHEN Ming-jing |
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| Abstract: | The estimation of Markov Regime Switching Lognormal Model parameters' confidence interval is difficult to be gained.This paper recommends Bootstrap method that can be easily realized in Excel and remedy the drawbacks of I(Θ)-1,moreover,we can get confidence interval,estimators' distributions and variance-covariance matrix,and provides an easy but reliable method. |
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| Keywords: | RSLN Model Bootstrap method confidence interval Fisher information |
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