[1]刘应安,韦博成,林金官.误差为ARMA(1,1)的非线性回归模型相关性和异方差的检验[J].东南大学学报(自然科学版),2001,31(6):98-102.[doi:10.3969/j.issn.1001-0505.2001.06.024]
 Liu Yingan,Wei Bocheng,Lin Jinguan.Tests of Auto-Correlation and Heteroscedasticity of the Nonlinear Regression Models with an ARMA(1,1) Sequence Random Error[J].Journal of Southeast University (Natural Science Edition),2001,31(6):98-102.[doi:10.3969/j.issn.1001-0505.2001.06.024]
点击复制

误差为ARMA(1,1)的非线性回归模型相关性和异方差的检验()
分享到:

《东南大学学报(自然科学版)》[ISSN:1001-0505/CN:32-1178/N]

卷:
31
期数:
2001年第6期
页码:
98-102
栏目:
数学、物理学、力学
出版日期:
2001-11-20

文章信息/Info

Title:
Tests of Auto-Correlation and Heteroscedasticity of the Nonlinear Regression Models with an ARMA(1,1) Sequence Random Error
作者:
刘应安 韦博成 林金官
东南大学应用数学系,南京 210096
Author(s):
Liu Yingan Wei Bocheng Lin Jinguan
Department of Applied Mathematics, Southeast University, Nanjing 210096, China)
关键词:
非线性回归模型 相关性 异方差性 修正的似然比检验 修正的Score检验
Keywords:
nonlinear regression model auto-correlation heteroscedasticity the modified likelihood test the modified Score test
分类号:
O212.1
DOI:
10.3969/j.issn.1001-0505.2001.06.024
摘要:
本文讨论了误差为ARMA(1,1)序列的非线性回归模型.首先得到随机误差相关性和异方差性检验的似然比检验统计量和Score检验统计量; 其次利用参数正交变换,得到了修正的似然比检验统计量和修正的Score检验统计量,推广了韦博成、胡跃清(1994)的结果和韦博成(1995)的结果; 最后给出了几种特殊情形的似然比检验统计量和Score检验统计量.
Abstract:
The likelihood ratio test and Score test are proposed to test the autocorrelation and heteroscedasticity of the ARMA(1,1) sequence random errors in nonlinear regression models. Based on the parameter orthogonality transformation, both the modified likelihood ratio test and the modified Score test are derived. The results are an extension of the works of Wei and Hu(1994) and Wei(1995). The paper also discusses the tests of autocorrelation and heteroscedasticity in some special models.

参考文献/References:

[1] Seber G A F,Wild C J.Nonlinear regression.New York:John Wiley and Sons,1989.1~324
[2] Cook R D,Weisberg S.Diagnostics for heteroscedasticity in regression.Biometrka,1983,70:1~10
[3] Simonoff J S,Tsai C L.Improved tests for nonconstant variance in regression based on the modified profile likelihood.Appl Statist,1994,43:357~370
[4] 韦博成.加权非线性回归的Score检验及其局部影响分析.应用概率统计,1995,11(2):147~156
[5] 韦博成,胡跃清.非线性回归模型相关性和异方差性的检验.工程数学学报,1994,11(4):1~12
[6] Richard F,Rob J H,Alan V.Residual diagnostic plots for checking for model mis-specification in time series regression.Aust N Z J Stat, 2000,42:463~477
[7] Cox D R,Reid N.Parameter orthogonality and approximate conditional inference. J R Statist Soc B,1987,49:1~39
[8] 韦博成,鲁国斌,史建清.统计诊断引论.南京:东南大学出版社,1991.610~614
[9] 韦博成.近代非线性回归分析.南京:东南大学出版社,1989.236~240
[10] Wei B C.Exponential family nonlinear models.Singapore:Springer-Verlag,1998.147~154

相似文献/References:

[1]王芳,陈飞,倪富健,等.公路平面线形与驾驶员视觉搜索模式相关性分析[J].东南大学学报(自然科学版),2009,39(5):1070.[doi:10.3969/j.issn.1001-0505.2009.05.040]
 Wang Fang,Chen Fei,Ni Fujian,et al.Correlation analysis between highway horizontal alignment and drivers’ visual search behavior[J].Journal of Southeast University (Natural Science Edition),2009,39(6):1070.[doi:10.3969/j.issn.1001-0505.2009.05.040]
[2]白永生,蒋永生,梁书亭.单轴对称的开口薄壁梁弯、剪、扭相关性[J].东南大学学报(自然科学版),2002,32(6):955.[doi:10.3969/j.issn.1001-0505.2002.06.029]
 Bai Yongsheng,Jiang Yongsheng,Liang Shuting.Correlativity of monosymmetric thin-walled beams of open section under combined bending, shear and torsion[J].Journal of Southeast University (Natural Science Edition),2002,32(6):955.[doi:10.3969/j.issn.1001-0505.2002.06.029]
[3]王德育,袁春伟.TiO2薄膜厚度及其光学常数的测量[J].东南大学学报(自然科学版),1999,29(5):105.[doi:10.3969/j.issn.1001-0505.1999.05.022]
 Wang Deyu,Yuan Chunwei.Determination of the Thickness and Optical Constants of TiO2 Film[J].Journal of Southeast University (Natural Science Edition),1999,29(6):105.[doi:10.3969/j.issn.1001-0505.1999.05.022]
[4]曹玉鹏,邓永锋,洪振舜,等.激光法与比重计法粒径分布相关性试验研究[J].东南大学学报(自然科学版),2012,42(4):755.[doi:10.3969/j.issn.1001-0505.2012.04.034]
 Cao Yupeng,Deng Yongfeng,Hong Zhenshun,et al.Experimental study on correlation of particle size distribution by laser and hydrometer method[J].Journal of Southeast University (Natural Science Edition),2012,42(6):755.[doi:10.3969/j.issn.1001-0505.2012.04.034]
[5]徐南荣,焦小澄.平稳时间序列模型的结构判定[J].东南大学学报(自然科学版),1984,14(1):1.[doi:10.3969/j.issn.1001-0505.1984.01.001]
 Xu Nan rong,and Jiao Xiao-cheng.Structure Discrimination of Models For Stationary Time Series[J].Journal of Southeast University (Natural Science Edition),1984,14(6):1.[doi:10.3969/j.issn.1001-0505.1984.01.001]
[6]韦博成.非线性回归模型残差的近似分析[J].东南大学学报(自然科学版),1984,14(3):115.[doi:10.3969/j.issn.1001-0505.1984.03.012]
 Wei Bocheng.An Approximate Residual Analysis of the Nonlinear Regression Model[J].Journal of Southeast University (Natural Science Edition),1984,14(6):115.[doi:10.3969/j.issn.1001-0505.1984.03.012]
[7]丁幼亮,王超,王景全,等.高速铁路钢桁拱桥吊杆振动长期监测与分析[J].东南大学学报(自然科学版),2016,46(4):848.[doi:10.3969/j.issn.1001-0505.2016.04.029]
 Ding Youliang,Wang Chao,Wang Jingquan,et al.Long-term monitoring and analysis of hanger vibration on high-speed railway steel truss arch bridge[J].Journal of Southeast University (Natural Science Edition),2016,46(6):848.[doi:10.3969/j.issn.1001-0505.2016.04.029]
[8]黄煜,徐青山,刘建坤,等.基于混合高斯模型的相关非高斯输入变量随机潮流计算[J].东南大学学报(自然科学版),2017,47(2):291.[doi:10.3969/j.issn.1001-0505.2017.02.016]
 Huang Yu,Xu Qingshan,Liu Jiankun,et al.Probabilistic load flow with non-Gaussian correlated input variables based on Gaussian mixture model[J].Journal of Southeast University (Natural Science Edition),2017,47(6):291.[doi:10.3969/j.issn.1001-0505.2017.02.016]
[9]王芳,孟丹,韩苗苗,等.采暖通风方式对室内外PM2.5浓度及其相关性的影响[J].东南大学学报(自然科学版),2017,47(5):950.[doi:10.3969/j.issn.1001-0505.2017.05.018]
 Wang Fang,Meng Dan,Han Miaomiao,et al.Effect of heating and ventilating scenarios on indoor and outdoor PM2.5 mass concentrations and correlations[J].Journal of Southeast University (Natural Science Edition),2017,47(6):950.[doi:10.3969/j.issn.1001-0505.2017.05.018]

备注/Memo

备注/Memo:
作者简介:刘应安,男,1965年生,副教授,博士研究生.
基金项目:国家自然科学基金资助项目(19631040)和江苏省自然科学基金资助项目(BK99002).
更新日期/Last Update: 2001-11-20