| 联合均值与方差模型的变量选择 |
| |
| 引用本文： | 吴刘仓,张忠占,徐登可.联合均值与方差模型的变量选择[J].系统工程理论与实践,2012,32(8):1754-1760. |
| |
| 作者姓名： | 吴刘仓 张忠占 徐登可 |
| |
| 作者单位： | 1. 北京工业大学 应用数理学院, 北京 100124;2. 昆明理工大学 理学院, 昆明 650093 |
| |
| 基金项目： | 国家自然科学基金(10971007,11126309);北京市教委科技计划(JC006790201001);云南省自然科学基金(2009ZC039M);昆明理工大学博士科研启动基金(2009-024) |
| |
| 摘 要： | 在许多应用方面, 特别在经济领域和工业产品的质量改进试验中, 非常有必要对方差建模. 推广经典的正态回归模型, 对联合均值与方差模型提出一种同时对均值模型和方差模型的变量选择方法. 提出的惩罚极大似然估计具有相合性和oracle性质. 随机模拟和实例研究结果表明该模型和方法是有用和有效的.
|
| 关 键 词： | 异方差模型 联合均值与方差模型 惩罚极大似然估计 变量选择 |
| 收稿时间： | 2011-02-28 |
Variable selection in joint mean and variance models |
| |
| WU Liu-cang
,
ZHANG Zhong-zhan
,
XU Deng-ke.Variable selection in joint mean and variance models[J].Systems Engineering —Theory & Practice,2012,32(8):1754-1760. |
| |
| Authors: | WU Liu-cang ZHANG Zhong-zhan XU Deng-ke |
| |
| Institution: | 1. College of Applied Sciences, Beijing University of Technology, Beijing 100124, China;2. Faculty of Science, Kunming University of Science and Technology, Kunming 650093, China |
| |
| Abstract: | In many applications,particularly in the econometric area and industrial quality improvement experiments,there is a great need to model the variance.A unified procedure was proposed to simultaneously select significant variables in joint mean and variance models which provide a useful extension of the classical normal regression models.It is further shown that the presented penalized estimator enjoys the consistency and the oracle property.Simulation and practice show that this model and method are useful and effective. |
| |
| Keywords: | heteroscedastic regression models joint mean and variance models penalized maximum likelihood estimator variable selection |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统工程理论与实践》浏览原始摘要信息 |
| 点击此处可从《系统工程理论与实践》下载免费的PDF全文 |
