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 |
| DOI | 10.1360/03ys0173 |
| 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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