MA模型阶数的贝叶斯估计  

The Bayesian Estimation of the Order for MA Model

作　　者：彭家龙[1] 丁丽萍[1] 王剑[2] 

机构地区：[1]西安建筑科技大学理学院,陕西西安710055 [2]广西中医学院药学院,广西南宁530001

出　　处：《贵州大学学报（自然科学版）》2008年第1期27-32,共6页Journal of Guizhou University:Natural Sciences

摘　　要：根据贝叶斯估计理论,在阶数和参数较为一般的先验分布及平方损失函数下,给出了MA模型阶数的贝叶斯估计,并证明了该估计方法具有强相合性。Author discuses the problem of determining the order of MA model basing on the Bayesian estimation theory. Suppose that a general prior distribution for the order and the parameters are proposed. With respect to a squared-error loss function, Author gives a Bayesian estimation of determining the order of MA model. The consistency of the order estimation is also proved.

关 键 词：模型 贝叶斯估计 平方损失函数 强相合性 

分 类 号：O212[理学—概率论与数理统计]