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逻辑回归模型中一种新的随机约束岭估计

发表时间:2017-10-13  浏览量:1801  下载量:260
全部作者: 李英莉,左卫兵
作者单位: 华北水利水电大学数学与统计学院
摘 要: 针对逻辑回归模型中解释变量存在复共线性问题,在随机约束岭最大似然估计(stochastic restricted ridge maximum likelihood estimator,SRRMLE)的基础上,通过添加岭参数,提出一种新的随机约束岭估计(stochastic restricted logistic ridge estimator,SRLRE)。在均方误差矩阵的意义下,将新估计与最大似然估计(maximum likelihood estimator,MLE)、岭估计(logistic ridge estimator,LRE)、随机约束最大似然估计(stochastic restricted maximum likelihood estimator,SRMLE)、SRRMLE进行比较。最后通过蒙特卡罗模拟方法验证新估计的优良性。
关 键 词: 数理统计学;逻辑回归;复共线性;随机约束岭估计;均方误差矩阵
Title: A new stochastic restricted logistic ridge estimator in logistic regression model
Author: LI Yingli, ZUO Weibing
Organization: School of Mathematics and Statistics, North China University of Water Resources and Electric Power
Abstract: This paper proposes a new stochastic restricted logistic ridge estimator (SRLRE) with stochastic linear restrictions based on stochastic restricted ridge maximum likelihood estimator (SRRMLE) by adding the ridge parameter to the multicollinearity problem of the explanatory variables in the logistic regression model. In the mean square error matrix sense, the new estimation is compared with the maximum likelihood estimation (MLE), logistic ridge estimator (LRE), stochastic restricted maximum likelihood estimator (SRMLE) and SRRMLE. Finally, the Monte Carlo simulation method is used to verify the superiority of the new estimation.
Key words: mathematical statistics; logistic regression; multicollinearity; stochastic restricted logistic ridge estimator; mean square error matrix
发表期数: 2017年10月第19期
引用格式: 李英莉,左卫兵. 逻辑回归模型中一种新的随机约束岭估计[J]. 中国科技论文在线精品论文,2017,10(19):2137-2144.
 
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