检验参数估计值可信度的一种方法

A METHOD FOR EXAMINING CHARACTERISTIC OF A ESTIMATE EQUATION AND THE RELIABILITY OF ESTIMATED PARAMETERS

  • 摘要: 本文提出了一种检验线性参数估计方程的性态和参数估计值可信度的方法,该方法的基本思想是:人为地在测量数据中引入不同程度的随机扰动,根据参数估计方程系数矩阵的奇异值对此扰动的敏感程度,判断它们的性态(良态或病态),据此了解估计方程的性态;根据各参数估计值对病态奇异值的依赖程度,了解它们的可信度。文中的应用实例表明该方法简单、实用,而且有效。

     

    Abstract: In this paper, a method is proposed for examining the characteristic (well or ill conditioned) of a linear parameter estimate equation and the reliability of the estimated values of the parameters. By introducing certain random perturbation in the measured data artificially, the characteristic of the estimate equation is judged from the response of the singular valuces of the coefficient matrix of the equation to the perturbation. According to the dependent level of the parameters to be estimated on the least(ill conditioned)sing-ular value, the reliability of these parameters can be obtained.

     

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