發(fā)布時(shí)間：2018-03-09 04:21

  本文選題：廣義矩估計(jì)　切入點(diǎn)：廣義經(jīng)驗(yàn)似然類估計(jì)量　出處：《統(tǒng)計(jì)與信息論壇》2012年03期 　論文類型：期刊論文

【摘要】：從廣義矩估計(jì)(GMM)到廣義經(jīng)驗(yàn)似然估計(jì)(GEL)的發(fā)展,是由于GMM估計(jì)量小樣本性質(zhì)的不足,促使人們尋求方法的改進(jìn)和拓展。通過必要的證明和推導(dǎo),詳細(xì)解析GEL類估計(jì)量(包括EL,ET,CUE)的邏輯關(guān)系和數(shù)理結(jié)構(gòu),認(rèn)識(shí)GEL的內(nèi)在本質(zhì),并運(yùn)用隨機(jī)模擬方法證實(shí)了在小樣本場(chǎng)合GEL類估計(jì)量比GMM估計(jì)量具有更小的估計(jì)偏差和均方誤差,即GEL類估計(jì)改進(jìn)了GMM估計(jì)的小樣本性質(zhì)。
[Abstract]:The development from generalized moment estimation (GMM) to generalized empirical likelihood estimator (Gel) is due to the shortage of small sample properties of GMM estimator, which urges people to seek improvement and extension of the method. The logic relation and mathematical structure of GEL class estimator (including ELT et CUE) are analyzed in detail, and the intrinsic nature of GEL is recognized. The stochastic simulation method is used to prove that GEL class estimator has smaller estimation deviation and mean square error than GMM estimator in small sample cases. That is, GEL class estimators improve the small sample properties of GMM estimators.
【作者單位】： 西南財(cái)經(jīng)大學(xué)統(tǒng)計(jì)學(xué)院;
【基金】：教育部社科研究基金西部和邊疆地區(qū)項(xiàng)目《證券市場(chǎng)動(dòng)態(tài)相關(guān)性測(cè)度的拓展及應(yīng)用研究》(11XJC910001)
【分類號(hào)】：F064.1
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本文編號(hào)：1586967