摘要
对于两个相依线性回归方程组成的系统(1.1),本文提出了β1的待定系数估计β1(k,c)=(x11x1+kI)-1,其中岭参数k≥0,2是待定系数·与β1(k,c)对应的非限定两步估计记为β1(T,K,C).当C=1时β1(K,1)=β1(K)和β1(T,K,1)=β1(T,K)等于[6]引入的一双有偏估计,结果表明总可以选取适当的c值和K值使β1(K,c)和β1(T,K,c)在均方误差阵准则下分别优于β1和β1(T)[5],并讨论了c值的最佳选择问题.
In this paper the undetermined coefficient estimator of gβ1,, β1 (k,c)= (x' 1x1+KI)-1 [x' 1y1 -c. (δ12/δ22,)x'1N2y2] is proposed for the system of two seemingly unrelated regression equations (1. 1), where the ridge parameter k≥0, and c is an arbitrary constant.The unrestricted two-step estimator, where is the feasible counterepart to β1 (k,c),is written as β1 (T,k,c). When c=1, β1 (k,c)=β1 (k) and β1 (T,k,1 )= β1, (T,k),a pair of biasedestimators is introduced in [6]. It is shown that choosing the reasonable c and k values, the estimator β1 (k,c) may work better than β1[5], and β1 (T,k,c) may perform better that β1(T)[5], with respect to the mean square error matrix (MSEM) criterion, and how to choose the optimal value of c is also discussed.
出处
《数学研究》
CSCD
1994年第2期94-101,共8页
Journal of Mathematical Study
基金
福建省自然科学基金