样本判决系数的样本特性研究

THE RESEARCH ON THE SAMPLING PROPERTIES OF THE COEFFICIENT OF DETERMINATION

本文用 bootstrap方法估计 R2和 R2的标准误差并构建置信区间 ,用蒙特卡罗方法说明 bootstrap标准误差的精确程度 ,并说明 R2的 95置信水平的置信区间不包含真实值的某些特殊情况在用 R2时不会发生。

In this paper, using the bootstrap method, we estimate the standard errors of R 2 and 2 , and contruct their confidence intervals. It is shown by Monte carlo experiment that the bootstrap standard errors are considerably accurate. It is also shown that although the bootstrap 95% confidence intervals of R 2 do not include the true value of the parent coefficient of determination in some particular cases, such a phenomenon does not occur when 2 is used.