对称熵损失下成功概率p的E-Bayes估计  

E-Bayesian Estimation of Probability of Success p under Symmetric Entropy Loss Function

作　　者：李聪[1] 朱复康[1] 赖民[1] 

机构地区：[1]吉林大学数学学院,长春130012

出　　处：《大学数学》2013年第1期25-30,共6页College Mathematics

基　　金：国家自然科学基金(J1030101;10971081)

摘　　要：研究对称熵损失下成功概率p的Bayes估计和E-Bayes估计,证明了前者的存在性及唯一性.模拟结果表明E-Bayes估计优于极大似然估计和Bayes估计.并将E-Bayes方法应用在证券投资预测之中,预测效果较好.The authors studied the Bayesian and E-Bayesian estimation of probability of success p under symmetric entropy loss function and proved the existence and uniqueness of the Bayesian estimation. The simulation results showed that the E-Bayesian estimator outperformed than the maximum likelihood estimator and Bayesian estimator. The E-Bayesian method was applied to the forecast of the stock investment and the results of forecasting were precise.

关 键 词：对称熵损失函数 BAYES估计 E—Bayes估计 

分 类 号：O212.5[理学—概率论与数理统计]