Box-Cox变换下联合均值与方差模型的极大似然估计

Maximum Likelihood Estimation for Joint Mean and Variance Models of Box-Cox Transformation

在提出Box-Cox变换下联合均值与方差模型的基础上,研究了该模型参数的估计问题。同时利用截面极大似然估计方法对变换参数λ进行估计,并对均值模型和方差模型的参数进行极大似然估计。通过随机模拟和实例研究,结果表明该模型和方法是有效和可行的。

We investigate the maximum likelihood estimation of joint mean and variance model based on Box-Cox transformation.We firstly consider maximum profile likelihood estimator of Box-Cox transformation parameter.Then we investigate the maximum likelihood estimation of joint mean and variance model.Simulation studies and a real example show that these results and methods are useful and effective.