变系数混合效应模型(英文)  

On Varying Coefficient Mixed-Effects Model

作　　者：柴根象[1] 孙燕[2] 

机构地区：[1]同济大学应用数学系,上海200092 [2]上海财经大学经济学院,上海200433

出　　处：《应用概率统计》2006年第3期245-251,共7页Chinese Journal of Applied Probability and Statistics

基　　金：The project is supported by the Chinese National Nature Science Foundation(No.10171079).

摘　　要：本文研究了下列变系数混合效应模型：yij=z_(ij)~τb_i+x_(ij)~τβ(w_(ij))+ε_(ij),i=1,…,m；j= 1,…,ni,其中bi为i．i．d．期望为θ,协方差阵为σ_b^2I_q的随机效应向量,ε_(ij)是i．i．d．期望为零,具有有限方差的随机误差．文中我们不仅给出了函数系数向量β(·)的局部多项式估计,同时给出了随机效应期望、方差和随机误差方差的估计,并给出了这些估计量的渐进正态性和相合性,研究结果表明了这些估计量的可靠性．In this paper we consider the following varying coefficient mixed-effects model：Yij=zij^τbi＋xij^τβ（wij）＋εij,i=1,…,m;j=1,…,ni, where bi is i.i.d, random effects with mean vector θ and covariance matrix σb^2Iq,εij is i.i.d, random errors with zero mean and finite variance. The local polynomial estimator of the function coefficient vector β（.） is proposed. The method for estimating the mean of random effects, variances of random effects and random errors are also given. Asymptotic normality and consistency for the estimators are established, which give useful insight into the reliability of these general estimation methods.

关 键 词：变系数混合效应模型 局部多项式 渐进正态性 相合性 

分 类 号：O212.7[理学—概率论与数理统计]