位置：成果数据库 > 期刊 > 期刊详情页
正态总体误差方差的经验Bayes估计及其优良性
  • ISSN号：0253-2778
  • 期刊名称：《中国科学技术大学学报》
  • 时间：0
  • 分类：O212.1[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中国科学技术大学统计与金融系,安徽合肥230026
  • 相关基金：国家重点基础研究发展（973）计划（2007CB814901）,国家自然科学基金（11171179）资助.
作者： 杨奉豪[1], 冯珉[1]
关键词： 误差方差, 正态分布, PEB估计, MSE准则, error variance, normal distribution, PEB estimation, MSE criterion
中文摘要：

对正态总体误差方差在共轭先验分布和加权平方损失下导出了其Bayes估计，构造了其参数型经验Bayes（PEB）估计，研究了其在均方误差（MSE）准则下相对于一致最小方差无偏估计（UMVUE）的优良性．当先验分布中的超参数完全未知时，通过数值模拟比较了PEB估计和UMVUE的均方误差，获得了PEB估计的优良性．

英文摘要：

Abstract： Under the conjugate prior distribution of the error variance in normal distribution and the weighted squared error loss function, the Bayes estimator was derived and the parametric empirical Bayes （PEB） estimator was constructed for the error variance. The superiority of the PEB estimation over the uniformly minimum variance unbiased estimation （UMVUE） in terms of the mean-square error （MSE） criterion was studied. In the case where the hyper-parameters of the prior distribution are completely unknown, the superiority of the PEB estimation over be UMVUE under the MSE criterion wasinvestigated with a simulation study.

同期刊论文项目
基于Lévy过程的最优分红策略的研究
期刊论文 59
同项目期刊论文
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI'S DIVIDEND PROBLEM
具有投资利息的扰动复合Poisson风险模型的最优分红策略
Representation theorems for generators of BSDEs in L^p spaces
The first passage time and the dividend value function for one-dimensional diffusion processes betwe
随机意外大灾风险模型的破产概率
Two-Sided First Exit Problem for Jump Diffusion Processes Having Jumps with a Mixture of Erlang Dist
Jensen’s Inequality for Generalized Peng’s -Expectations and Its Applications
BSDEs under filtration-consistent nonlinear expectations and the corresponding decomposition theorem
The Exit Time and the Dividend Value Function for One-Dimensional Diffusion Processes
The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
L^p solutions of infinite time interval BSDEs and the corresponding g-expectationsand g-martingales
Discrete-time GI^X/Geo/1/N queue with negative customers and multiple working vacations
An M^ X /G/1 queue with randomized working vacations and at most J vacations
Discrete-Time Geo^X/G/1 Retrial Queue with General Retrial Times, Working Vacations and Vacation Int
Optimal dividend problem with a terminal value for spectrally positive Lévy processes
Consistent Nonlinear Evaluations with Their Generating Functions in L^p
Exit problems for jump processes with applications to dividend problems
An extension of Paulsen–Gjessing’s risk model with stochastic return on investme
Alternative Approach to the Optimality of the Threshold Strategy for Spectrally Negative Levy Proces
Exit Problems for Jump Processes Having Double-Sided Jumps with Rational Laplace Transforms
Convexity of Ruin Probability and Optimal Dividend Strategies for aGeneral Lévy Process
Discrete-Time GeoX/G/1 Queue with GeometricallyWorking Vacations and Vacation Interruption
ON A DISCRETE-TIME GIX/GEO/1/N-G QUEUE WITH RANDOMIZED WORKING VACATIONS ANDAT MOST J VACATIONS
Performance and reliability analysis of an M/G/1-G retrial queuewith orbital search and non-persiste
How big are the increments of G-Brownian motion
保费率巨灾索赔相依的风险模型的破产概率
Differentiability of dividends function on jump-diffusion risk process with a barrier dividend strat
On the complete monotonicity of the compound geometric convolution with applications in risk theory
The First Passage Time Problem for Mixed-Exponential Jump Processes with Applications in Insurance a
ON THE OPTIMAL DIVIDEND PROBLEM FOR A SPECTRALLY POSITIVE LEVY PROCESS
Optimal dividend problem with a terminal value for spectrally positive Levy processes
DISCRETE-TIME GIX/GEO/1/N QUEUE WITH WORKING VACATIONS AND VACATION INTERRUPTION
The Compound Poisson Risk Model Perturbed by Diffusion with a Hybrid Dividend Strategy
Exact joint laws associated with spectrally negative L′evy processes and applications to insurance r
Dividend Payments with a Hybrid Strategy in the Compound Poisson Risk Model
Uniform Estimate for The Tail Probabilities of Randomly Weighted Sums
一类混合分红策略下的广义Erlang(n) 风险模型
一个可变保费巨灾风险模型的 局部破产概率
Optimal Dividend Problem for a Compound Poisson Risk Model
On a Dual Model with Barrier Strategy
Optimal dividend problemsfor a jump-diffusion model with capital injections and proportionaltransact
Asymptotic results for tail probabilities of sums of dependent and heavy-tailed random variables
Exact joint laws associated with spectrally negative L,vy processes and applications to insurance ri
AN M/G/1 RETRIAL QUEUE WITH GENERAL RETRIAL TIMES, WORKING VACATIONS AND VACATION INTERRUPTION
The expected discounted penalty function under a renewal risk model with stochastic income
On a risk model with Markovian arrivals and tax
一个可变保费巨灾风险模型的局部破产概率
带分红的稀疏风险模型的期望折现罚金函数
COMPLETE MONOTONICITY OF THE PROBABILITY OF RUIN AND DE FINETTI＇S DIVIDEND PROBLEM
期刊信息
  • 《中国科学技术大学学报》
  • 北大核心期刊（2011版）
  • 主管单位:中国科学院
  • 主办单位:中国科学技术大学
  • 主编：何多慧
  • 地址：安徽省合肥市金寨路96号
  • 邮编：230026
  • 邮箱：JUST@USTC.EDU.CN
  • 电话：0551-63601961 63607694
  • 国际标准刊号：ISSN：0253-2778
  • 国内统一刊号：ISSN：34-1054/N
  • 邮发代号:26-31
  • 获奖情况:
  • 1999年，全国优秀高等学校自然科学学报及教育部优...,2001年，安徽省1999-2001年度优秀科技期刊一等奖,2002年，第三届华东地区优秀期刊奖
  • 国内外数据库收录:
  • 俄罗斯文摘杂志,美国化学文摘（网络版）,美国数学评论（网络版）,德国数学文摘,荷兰文摘与引文数据库,美国剑桥科学文摘,英国科学文摘数据库,日本日本科学技术振兴机构数据库,中国中国科技核心期刊,中国北大核心期刊（2004版）,中国北大核心期刊（2008版）,中国北大核心期刊（2011版）,中国北大核心期刊（2014版）,中国北大核心期刊（2000版）
  • 被引量:8237