空间自回归模型中参数的Bayes估计

doi:10.3969/j.issn.0253-2778.2019.08.006

中国科学技术大学学报 ›› 2019, Vol. 49 ›› Issue (8): 630-634.DOI: 10.3969/j.issn.0253-2778.2019.08.006

空间自回归模型中参数的Bayes估计

吴世朋

1.新疆大学数学与系统科学学院，新疆乌鲁木齐 830046;2.新疆财经大学应用数学学院，新疆乌鲁木齐，830012

收稿日期:2018-10-23 修回日期:2019-04-10 出版日期:2019-08-31 发布日期:2019-08-31
通讯作者: 张辉国
作者简介:吴世朋，男，1993年生，硕士生.研究方向：贝叶斯空间计量模型.E-mail: wushipeng1234@163.com
基金资助:
新疆自然科学基金(2019D01C045),国家社会科学基金项目(16BTJ024),教育部人文社会科学研究规划基金项目(19YJA910007)资助.

The Bayes estimation of parameters of spatial autoregressive model

WU Shipeng

1. College of Mathematics and System Science,Xinjiang University, Urumqi 830046,China; 2. College of Applied Mathematics, Xinjiang University of Finance & Economics, Urumqi 830012, China

Received:2018-10-23 Revised:2019-04-10 Online:2019-08-31 Published:2019-08-31

摘要/Abstract

摘要： 首先采用线性 Bayes方法估计了空间自回归模型的参数，并在均方误差矩阵准则下研究了线性Bayes估计相对两步最小二乘估计的优良性. 然后，使用Metropolis抽样算法实现了对空间自相关系数的估计. 最后，通过模拟试验比较了线性Bayes估计与两步最小二乘估计的优缺点.

关键词: 空间自回归模型, 线性Bayes估计, 两步最小二乘估计

Abstract: First, the linear Bayes was used to estimate the parameters of spatial autoregressive model, and the superiorities of the linear Bayes estimator over two-step least square estimator were studied in terms of the mean square error matrix (MSEM) criterion. Then, the estimation of spatial autocorrelation coefficient was implemented by Metropolis algorithm. Finally, the superiority of the linear Bayes estimation and two-step least square estimation was compared by simulation experiments.

Key words: spatial autoregressive model, linear Bayes estimation, two-step least square estimation

吴世朋，张辉国，王合玲. 空间自回归模型中参数的Bayes估计[J]. 中国科学技术大学学报, 2019, 49(8): 630-634.

WU Shipeng, ZHANG Huiguo, WANG Heling. The Bayes estimation of parameters of spatial autoregressive model[J]. Journal of University of Science and Technology of China, 2019, 49(8): 630-634.

空间自回归模型中参数的Bayes估计

The Bayes estimation of parameters of spatial autoregressive model

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