具有Rao简单结构的多元t-模型的MLE及其精确分布  

Maximum Likelihood Estimation of Multivariate t-Model with Rao's Simple Structure and Its Exact Distribution

作　　者：邹清明[1,2] 王静龙[1] 朱仲义[3] 

机构地区：[1]华东师范大学金融与统计学院,上海200241 [2]南华大学经济管理学院,衡阳421001 [3]复旦大学统计系,上海200433

出　　处：《应用概率统计》2009年第4期398-408,共11页Chinese Journal of Applied Probability and Statistics

摘　　要：探求模型中未知参数的估计及其分布一直是统计学研究中的感兴趣的问题.本文研究了具有Rao简单结构多元t-模型的极大似然估计,利用条件分布方法,获得了其精确分布.In statistical studying, it is always an interesting topic to obtain the estimation and its distribution for an unknown parameter in model. In this paper, the maximum likelihood estimation of multivariate t-model with Rao＇s simple structure is considered. By the technique of conditional distribution, the exact distribution of estimators is obtained.

关 键 词：极大似然估计 RAO简单结构 条件分布 t-模型 

分 类 号：O211.67[理学—概率论与数理统计]