基于G-M法和重要抽样法的PLP强度函数的Bayesian预测分析  

Bayesian prediction analysis of the intensity of the power law process based on G-M method and importance sampling technique

作　　者：王燕萍[1] 吕震宙[1] 

机构地区：[1]西北工业大学航空学院,西安710072

出　　处：《系统工程理论与实践》2011年第11期2217-2224,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(50875213);西北工业大学基础研究基金(NPU-FFR-JC201101)

摘　　要：在多种无信息先验下,将Gibbs抽样与Metropolis-Hastings算法混合的方法和重要抽样法应用于幂律过程强度函数的Bayesian预测分析,简化Bayesian分析同时还能方便地给出强度函数及其函数的Bayes估计和区间分析.所给预测方法不仅能预测幂律过程的未来强度,同样适用于当前强度的预测。在用具有精确解的数值模拟算例充分验证了文中方法的可行性、合理性和有效性之后,将其应用于一个实例分析,并就无信息先验中参数的选取给出一些建议.Under various reasonable noninformative priors, the hybrid of Gibbs sampling and Metropolis- Hastings algorithm, and importance sampling technique have been employed to Bayesian prediction of the intensity of the power law process. Bayesian analysis of the intensity of the power law process is facilitated, and then Bayes estimates and crediLble intervals of the intensity and functions of the intensity of the power law process can be easily obtained. The given prediction methods are,exploited to predict not only the future intensity but also the current intensity. After results from a numerical simulation example with real value illustrate the feasibility, rationality and validity of presented methods, a real example is given. As for selection of noninformative priors, this paper provides some advices.

关 键 词：幂律过程 强度函数 Bayesian推断 GIBBS抽样 Metropolis—Hastings算法 重要抽样 

分 类 号：TB114.3[理学—概率论与数理统计]