| 稳健经验似然估计方法 |
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| 引用本文： | 苏依官,樊亚莉,徐孝琳.稳健经验似然估计方法[J].上海理工大学学报,2019,41(3):253-259. |
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| 作者姓名： | 苏依官 樊亚莉 徐孝琳 |
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| 作者单位： | 上海理工大学 理学院, 上海 200093,上海理工大学 理学院, 上海 200093,上海理工大学 理学院, 上海 200093 |
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| 基金项目： | 国家自然科学基金资助项目（11401383） |
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| 摘 要： | 在经验似然方法的基础上提出了一种稳健的经验似然估计方法,在约束条件的估计方程中使用权重函数以及有界得分来限制异常点的影响。通过数值模拟研究该方法的稳健性。模拟结果表明,相比普通的经验似然估计,提出的稳健经验似然方法在数据中存在异常值的情况下所得估计的均方误差更小。同时对于非正态的厚尾分布数据,提出的稳健经验似然估计也在均方误差意义下更优。
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| 关 键 词： | 经验似然 稳健性 估计方程 |
| 收稿时间： | 2018/4/19 0:00:00 |
Robust Empirical Likelihood Estimation |
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| SU Yiguan,FAN Yali and XU Xiaolin.Robust Empirical Likelihood Estimation[J].Journal of University of Shanghai For Science and Technology,2019,41(3):253-259. |
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| Authors: | SU Yiguan FAN Yali and XU Xiaolin |
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| Institution: | College of Science, University of Shanghai for Science and Technology, Shanghai 200093, China,College of Science, University of Shanghai for Science and Technology, Shanghai 200093, China and College of Science, University of Shanghai for Science and Technology, Shanghai 200093, China |
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| Abstract: | Based on introducing the empirical likelihood method, a robust empirical likelihood estimator was presented. The weight function and the bounded score were used to limit the influence of outlier on the estimation equation with the constraint condition. The performance of the proposed estimator was studied through simulation. The simulation results show that the proposed robust empirical likelihood estimator has smaller mean square error, compared to ordinary empirical likelihood estimators. At the same time, the proposed estimator also performs better for heavy tailed data sets in the term of mean square error. |
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| Keywords: | empirical likelihood robustness estimation equation |
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