基于正交表的异方差估计方法改进  

An Improved Estimation Method of the Variance with Orthogonal Table in the Heteroskedastic Model

作　　者：张晓琴[1] 王佳鸣[1] 

机构地区：[1]山西大学数学科学学院,山西太原030006

出　　处：《数理统计与管理》2016年第2期225-231,共7页Journal of Applied Statistics and Management

基　　金：山西省高等学校教学改革项目(J2014006);山西省自然科学基金面上项目(2015011044);山西省国际科技合作计划项目(2015081020)

摘　　要：关于异方差模型的处理,方差估计及其性质研究是一个有意义的问题。本文针对一种基于正交表估计方差的非参数方法进行了改进。考虑到已有利用正交表的估计方法中,没有充分运用原始数据信息来确定因变量与自变量关系的不足,以及正交表使用中关于容差确定的不合理性,本文在这两方面进行了深入研究。模拟实验与实例分析表明,本文所提出的改进方法与原有正交表方法及HC4方法相比较,是一种更加有效的估计。It is one of meaningful questions about the heteroskedastic models processing,variance estimation and its properties study.In this paper,a non-parameter estimation method of the variance using the orthogonal table is improved.In the existed estimation method based on orthogonal table,it is found that this method did not make the best of the original data information to determine the relationship between the dependent variable and independent variables,and the tolerance confirmation of the factors in the orthogonal table is irrational.So this paper will study these two aspects in depth.Simulations and case study show that this improved method is more effective compared with the original orthogonal table method and HC4 method.

关 键 词：异方差 协方差阵 正交表 

分 类 号：F272.1[经济管理—企业管理] O212[经济管理—国民经济]