응용통계연구 (The Korean Journal of Applied Statistics)

  • 제11권1호
  • /
  • Pages.97-111
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  • 1998
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  • 1225-066X(pISSN)
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  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지

회귀모형 오차항의 1차 자기상관에 대한 베이즈 검정법

A Bayesian test for the first-order autocorrelations in regression analysis

  • 김혜중 ((100-715) 서울시 중구 필동 3가, 동국대학교 통계학과) ;
  • 한성실 ((100-715) 서울시 중구 필동 3가, 동국대학교 통계학과 박사과정 수료)
  • 발행 : 1998.03.01
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초록

본 논문에서는 회귀모형 오차항의 1차 자기상관에 대한 베이즈 검정법을 제안하였다. 이를 위해 자기상관검정에서 설정된 귀무 및 대립가설간에 베이즈 요인을 도출하고, 이를 근사추정하는 방법을 일반화 Savage-Dickey 밀도비와 Gibbs 추출법의 합성을 통해 제시하였다. 또한, 근사추정의 효율 및 제안된 검정법의 검정력을 평가하기 위해서 모의실험과 경험적 자료분석 예를 사용하였다.

This paper suggests a Bayesian method for testing first-order markov correlation among linear regression disturbances. As a Bayesian test criterion, Bayes factor is derived in the form of generalized Savage-Dickey density ratio that is easily estimated by means of posterior simulation via Gibbs sampling scheme. Performance of the Bayesian test is evaluated and examined based upon a Monte Carlo experiment and an empirical data analysis. Efficiency of the posterior simulation is also examined.

키워드

참고문헌

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