Optimal Credibility Estimation of Random Parameters in Hierarchical Random Effect Linear Model 被引量：2

Optimal Credibility Estimation of Random Parameters in Hierarchical Random Effect Linear Model

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摘要 In the hierarchical random effect linear model, the Bayes estimator of random parameter are not only dependent on specific prior distribution but also it is difficult to calculate in most cases. This paper derives the distributed-free optimal linear estimator of random parameters in the model by means of the credibility theory method. The estimators the authors derive can be applied in more extensive practical scenarios since they are only dependent on the first two moments of prior parameter rather than on specific prior distribution. Finally, the results are compared with some classical models and a numerical example is given to show the effectiveness of the estimators. In the hierarchical random effect linear model, the Bayes estimator of random parameter are not only dependent on specific prior distribution but also it is difficult to calculate in most cases. This paper derives the distributed-free optimal linear estimator of random parameters in the model by means of the credibility theory method. The estimators the authors derive can be applied in more extensive practical scenarios since they are only dependent on the first two moments of prior parameter rather than on specific prior distribution. Finally, the results are compared with some classical models and a numerical example is given to show the effectiveness of the estimators.

作者 WEN Limin FANG Jing MEI Guoping WU Xianyi

机构地区 School of Mathematics and Information Science School of Information Management Department of Statistics and Actuarial Science

出处《Journal of Systems Engineering and Electronics》 SCIE EI CSCD 2015年第5期1058-1069,共12页 系统工程与电子技术（英文版）

基金 supported by the National Science Foundation of China under Grant Nos.71361015,71340010,71371074 the Jiangxi Provincial Natural Science Foundation under Grant No.20142BAB201013 China Postdoctoral Science Foundation under Grant No.2013M540534 China Postdoctoral Fund special Project under Grant No.2014T70615 Jiangxi Postdoctoral Science Foundation under Grant No.2013KY53

关键词 Bayes theory credibility estimator hierarchical linear model random effect Bayes theory, credibility estimator, hierarchical linear model, random effect

分类号 O212 [理学—概率论与数理统计] TP391.12 [自动化与计算机技术—计算机应用技术]

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