| Bayes线性无偏估计关于误差协方差及先验分布的稳健性 |
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| 引用本文： | 邱红兵. Bayes线性无偏估计关于误差协方差及先验分布的稳健性[J]. 广东工业大学学报, 2016, 33(5): 5-8. DOI: 10.3969/j.issn.1007-7162.2016.05.002 |
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| 作者姓名： | 邱红兵 |
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| 作者单位： | 广东工业大学 应用数学学院, 广东 广州 510520 |
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| 基金项目： | 国家自然科学基金资助项目(11401114)；国家社会科学基金资助项目(11CTJ008) |
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| 摘 要： | 对于线性模型中未知参数估计的稳健性的研究，一直是统计学中的一个热点.本文研究线性模型中回归系数的Bayes线性无偏估计关于误差协方差及先验分布的稳健性问题，分别得到当误差协方差改变、先验分布改变或误差协方差和先验分布同时改变时，Bayes线性无偏估计还保持其最优性的充分必要条件．
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| 关 键 词： | 线性模型 Bayes线性无偏估计 稳健性 先验分布, |
| 收稿时间： | 2015-12-01 |
Robustness of Bayes Linear Unbiased Estimator in Terms of Error Covariance and Prior Distributions |
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| QIU Hong-bing. Robustness of Bayes Linear Unbiased Estimator in Terms of Error Covariance and Prior Distributions[J]. Journal of Guangdong University of Technology, 2016, 33(5): 5-8. DOI: 10.3969/j.issn.1007-7162.2016.05.002 |
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| Authors: | QIU Hong-bing |
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| Affiliation: | School of Applied Mathematics, Guangdong University of Technology, Guangzhou 510520，China |
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| Abstract: | The research that focuses on the robustness for the estimation of unknown parameters in the linear model has been a hot topic of statistics. In this paper, the robustness of Bayes linear unbiased estimator of the regression coefficients in the linear model in terms of error covariance and prior distributions are discussed, and the necessary and sufficient conditions for Bayes linear unbiased estimator holding its optimality when error covariance varies, or prior distributions vary, or error covariance and prior distributions vary, are respectively obtained. |
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| Keywords: | linear model Bayes linear unbiased estimator robustness prior distribution, |
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