线性回归模型的稳健估计及异方差检验 |
| |
引用本文: | 孙慧慧.线性回归模型的稳健估计及异方差检验[J].新乡学院学报(自然科学版),2012(4):300-301,308. |
| |
作者姓名: | 孙慧慧 |
| |
作者单位: | 盐城师范学院数学科学学院 |
| |
基金项目: | 江苏省自然科学基金项目(BK2011058);盐城师范学院科研基金项目(11YCKL019) |
| |
摘 要: | 将Huber函数引入线性回归模型的对数似然函数中,利用Fisher Scoring迭代法得到参数的稳健估计(M估计);在M估计的基础上,对模型进行异方差检验,建立Score检验统计量;最后用一组实际数据说明本文方法的有效性.
|
关 键 词: | Huber函数 稳健估计 Score统计量 异方差检验 |
Robust Estimation and Heteroscedastic Test of Linear Regression Model |
| |
Authors: | SUN Hui-hui |
| |
Institution: | SUN Hui-hui(School of Mathematical Sciences,Yancheng Teachers University,Yancheng 224002,China) |
| |
Abstract: | Huber function is introduced into log-likelihood function of linear regression model.And Fisher Scoring iterative method is applied to get robust estimation(M-estimation) of parameters.Heteroscedastic test is studied based on M-estimator,score test statistic is established.At last,the availability of the method is illustrated by a group of real data. |
| |
Keywords: | Huber function robust estimation Score statistic heteroscedastic test |
本文献已被 CNKI 维普 等数据库收录! |