中国科学院机构知识库网格
Chinese Academy of Sciences Institutional Repositories Grid
Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations

文献类型:期刊论文

作者Wang, LC
刊名SCIENCE IN CHINA SERIES A-MATHEMATICS
出版日期2005-09-01
卷号48期号:9页码:1153-1168
关键词seemingly unrelated regressions covariance adjusted approach empirical Bayes estimation mean square error criterion
ISSN号1006-9283
DOI10.1360/03ys0173
英文摘要For a system of two seemingly unrelated regression equations given by {y1 = X(1)beta + epsilon(1), y2 = X(2)gamma + epsilon(2), (y(1) is an m x 1 vector and y(2) is an n x 1 vector, m not equal n), employing the covariance adjusted technique, we propose the parametric Bayes and empirical Bayes iteration estimator sequences for regression coefficients. We prove that both the covariance matrices converge monotonically and the Bayes iteration estimator squence is consistent as well. Based on the mean square error (MSE) criterion, we elaborate the superiority of empirical Bayes iteration estimator over the Bayes estimator of single equation when the covariance matrix of errors is unknown. The results obtained in this paper further show the power of the covariance adjusted approach.
语种英语
WOS记录号WOS:000233073200001
出版者SCIENCE PRESS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/1077]  
专题中国科学院数学与系统科学研究院
通讯作者Wang, LC
作者单位Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714
Wang, LC. Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS,2005,48(9):1153-1168.
APA Wang, LC.(2005).Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations.SCIENCE IN CHINA SERIES A-MATHEMATICS,48(9),1153-1168.
MLA Wang, LC."Bayes and empirical Bayes iteration estimators in two seemingly unrelated regression equations".SCIENCE IN CHINA SERIES A-MATHEMATICS 48.9(2005):1153-1168.

入库方式: OAI收割

来源:数学与系统科学研究院

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