非正态假定下贝叶斯动态线性模型的监控研究(英文)  

THE MONITORING OF BAYESIAN DYNAMIC LINEAR MODELS WITHOUT NORMAL ASSUMPTIONS

作　　者：高理峰[1] 刘福升[2] 

机构地区：[1]临沂师范学院数学系,山东临沂276005 [2]山东科技大学信息科学与工程学院,山东泰安271019

出　　处：《数学杂志》2005年第3期245-248,共4页Journal of Mathematics

摘　　要：对非正态假定下贝叶斯动态模型,特别是非线性的模型的监控,一直是个难题.本文通过构建基于样本点的统计量,实现了对非正态假定下贝叶斯动态线性模型的监控.该方法也适用于非线性的贝叶斯动态模型.Ever since, the monitoring of Bayesian Dynamic Models without normal assumptions, especially nonlinear, is a difficult problem. In this paper, by constructing the statistic based on sampling points, we realize the monitoring of Bayesian Dynamic Linear Models without normal assumptions. Furthermore, we point out that this method can be generalized to Nonlinear Bayesian Dynamic Models.

关 键 词：贝叶斯动态模型 随机模拟 χ^2-统计量 

分 类 号：O211.67[理学—概率论与数理统计]