bayes estimation of two-phase linear regression model两阶段线性回归模型的贝叶斯估计.pdfVIP

Hindawi Publishing Corporation International Journal of Quality, Statistics, and Reliability Volume 2011, Article ID 357814, 9 pages doi:10.1155/2011/357814 Research Article Bayes Estimation of Two-Phase Linear Regression Model Mayuri Pandya,1 Krishnam Bhatt,1 and Paresh Andharia2 1 Department of Statistics, Bhavnagar University, University Campus, Near Gymkhana, Bhavnagar 364002, India 2 Department of Mathematics, Bhavnagar University, University Campus, Near Gymkhana, Bhavnagar 364002, India Correspondence should be addressed to Mayuri Pandya, mayuri.dave@rediff Received 28 December 2010; Accepted 9 May 2011 Academic Editor: Kwai Sang Chin Copyright © 2011 Mayuri Pandya et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 2 2 Let the regression model be Y = β X + ε , where ε are i. i. d. N (0, σ ) random errors with variance σ 0 but later it was found i 1 i i i that there was a change in the system at some point of time m and it is reflected in the sequence after Xm by change in slope, regression parameter β2 . The problem of study is when and where this change has started occurring. This is called change point inference problem. The estimators of m, β 1, β2 are derived under asymmetric loss functions, namely, Linex loss General Entropy loss functions. The effects of correct and wrong prior information on the Bayes estimates are studied. 1. Introduction In