协方差改进估计的优良性:计算机模拟结果  

ON OPTIMALITY OF THE COVARIANCE-IMPROVED ESTIMATE: A SIMULATION STUDY

作　　者：陈茂学[1] 刘金山[2] 

机构地区：[1]山东农业大学,泰安271018 [2]郑州轻工业学院,郑州450002

出　　处：《应用概率统计》1994年第1期1-4,共4页Chinese Journal of Applied Probability and Statistics

摘　　要：对于相依线性回归方程组成的系统.本文对它的回归系数的协方差改进估计(CIE)及其两步估计(TCIE)与最小二乘估计(LSE)进行了计算机模拟比较.模拟结果揭示了这种改进估计的估计的统计优良性.For the seemingly unrelated regression system, [1] proposes a new estimate of regression coefficients, called the covariance-improved estimate (OIE). This paper compares the estimate and its two-stage version (TCIE) with the singuly equation least-squares estimate (LSE) in term of computer simulation. The results show the efficiency of the OIE and TCIE with respect to the LSE. For the models used in the paper the two estimates have the priority over the LSE when there is considerable correlation among the error terms of the equations, e. g. ρij≥0.3, or the sample size is not too small, e. g. n≥25.

关 键 词：回归 协方差 改进估计 计算机模拟 

分 类 号：O212.1[理学—概率论与数理统计]