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2022年应用回归分析第四版课后习题答案全何晓群刘文卿 .pdf

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1、实用回归分析第四版第一章回归分析概述1.3 回归模型中随机误差项的意义是什么？答：为随机误差项，正是由于随机误差项的引入，才将变量间的关系描述为一个随机方程，使得我们可以借助随机数学方法研究y 与 x1,x2.xp的关系，由于客观经济现象是错综复杂的，一种经济现象很难用有限个因素来准确说明，随机误差项可以概括表示由于人们的认识以及其他客观原因的局限而没有考虑的种种偶然因素。1.4 线性回归模型的基本假设是什么？答：线性回归模型的基本假设有：1.解释变量 x1.x2.xp 是非随机的，观测值xi1.xi2.xip是常数。2.等方差及不相关的假定条件为E(i)=0 i=1,2.Cov(i,j)=

2、2 3.正态分布的假定条件为相互独立。4.样本容量的个数要多于解释变量的个数，即 np.第二章一元线性回归分析思考与练习参考答案2.1一元线性回归有哪些基本假定?答：假设 1、解释变量 X 是确定性变量，Y 是随机变量；假设 2、随机误差项具有零均值、同方差和不序列相关性：E(i)=0 i=1,2,nVar(i)=2i=1,2,nCov(i,j)=0 i j i,j=1,2,n假设 3、随机误差项与解释变量 X 之间不相关：Cov(Xi,i)=0 i=1,2,n假设 4、服从零均值、同方差、零协方差的正态分布iN(0,2)i=1,2,n2.3 证明（2.27式），ei=0，eiXi=0。证

3、明：niiiniXYYYQ121021)?()?(其中：即：ei=0，eiXi=02.5 证明0?是 0的无偏估计。证明：)1)?()?(1110niixxiniiYLXXXYnEXYEE)(1()1(1011iixxiniixxiniXLXXXnEYLXXXnE01010)()1()1(ixxiniixxiniELXXXnLXXXnE2.6 证明证明：)()1()1()?(102110iixxiniixxiniXVarLXXXnYLXXXnVarVar2222121)(2)1(xxxxixxiniLXnLXXXnLXXXn2.7 证明平方和分解公式：SST=SSE+SSR证明：2.8 验证三

4、种检验的关系，即验证：（1）21)2(rrnt；（2）2221?)2/(1/tLnSSESSRFxx01?iiiiiYXeYY)1()1()?(2221220 xxniiLXnXXXnVarniiiiniiYYYYYYSST1212?()?niiiniiiiniiYYYYYYYY12112)?)(?2?SSESSR)Y?YYY?n1i2iin1i2i0100?QQ文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P

5、10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA

6、1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1

7、X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P

8、8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:

9、CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 H

10、U1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV

11、2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9证明：（1）22?22?(2)(2)?1yyxxyyxxxxxxrLLrLLnrnrtSSE LnSSE nSSE SSTLr（2）22222011111111?()()()()nnnniiiixxiiiiSSRyyxyyxxyxxL2212?/1?/(2)xxLSSRFtSSE n2.9 验证（2.63）式：2211)L)xx(n()e(Varxxii证明：0112222222?var()var()var()var()2cov(,)?var()var()2cov(,()()()112()11

12、iiiiiiiiiiiiixxxxixxeyyyyy yyxy yxxxxxxnLnLxxnL其中：222221111)(1()(1)(,()()1,()(?,(),()(?,(xxixxiniixxiiiniiiiiiiiLxxnLxxnyLxxyCovxxynyCovxxyCovyyCovxxyyCov2.10 用第 9 题证明2?22nei是2的无偏估计量证明：2221122112211?()()()22()111var()1221(2)2nniiiinniiiixxEE yyE ennxxennnLnn第三章文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9

13、W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R

14、2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2

15、D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10

16、T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M

17、7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9

18、L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P

19、10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W91.一个回归方程的复相关系数R=0.99，样本决定系数 R2=0.9801，我们能判断这个回归方程就很理想吗？答：不能断定这个回归方程理想。因为：1.在样本容量较少，变量个数较大时，决定系数的值容易接近1，而此时可能 F 检验或者关于回归系数的t 检验，所建立的回归方程都没能通过。2.样本决定系数和复相关系数接近于1 只能说明Y 与自变量X

20、1,X2,Xp 整体上的线性关系成立，而不能判断回归方程和每个自变量是显著的，还需进行F检验和 t 检验。3.在应用过程中发现，在样本容量一定的情况下，如果在模型中增加解释变量必定使得自由度减少，使得 R2往往增大，因此增加解释变量（尤其是不显著的解释变量）个数引起的R2的增大与拟合好坏无关。2.被解释变量Y的期望值与解释变量kXXX,21的线性方程为：01122()kkE YXXX(3-2)称为多元总体线性回归方程，简称总体回归方程。对于n组观测值),2,1(,21niXXXYkiiii，其方程组形式为：01122,(1,2,)iiikkiiYXXXin21?*,1,2,.,)jjyynjj

21、jiLjpLLXjjij其中:(X文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10

22、T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M

23、7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9

24、L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P

25、10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA

26、1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1

27、X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9(3-3)即nknknnnkkkkXXXYXXXYXXXY2211022222121021121211101其矩阵形式为nYYY21=knnnkkXXXXXXXXX212221212111111k210+n21即YX(3-4)其中

28、1nYnYYY21为被解释变量的观测值向量；)1(knXknnnkkXXXXXXXXX212221212111111为解释变量的观测值矩阵；(1)1kk210为总体回归参数向量；1nn21为随机误差项向量。多元回归线性模型基本假定：课本P57 第四章4.3 简述用加权最小二乘法消除一元线性回归中异方差性的思想与方法。答：普通最小二乘估计就是寻找参数的估计值使离差平方和达极小。其中每个平方项的权数相同，是普通最小二乘回归参数估计方法。在误差项等方差不相关的条件下，普通最小二乘估计是回归参数的最小方差线性无偏估计。然而在异方差的条件下，平方和中的每一项的地位是不相同的，误差项的方差大的项，在残差平

29、方和中的取值就偏大，作用就大，因而普通最小二乘估计的回归线就被拉向方文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1

30、X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P

31、8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:

32、CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 H

33、U1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV

34、2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编

35、码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9差大的项，方差大的项的拟合程度就好，而方差小的项的拟合程度就差。由 OLS求出的仍然是的无偏估计，但不再是最小方差线性无偏估计。所以就是：对较大的残差平方赋予较小的权数，对较小的残差平方赋予较大的

36、权数。这样对残差所提供信息的重要程度作一番校正，以提高参数估计的精度。加权最小二乘法的方法：4.4 简述用加权最小二乘法消除多元线性回归中异方差性的思想与方法。答：运用加权最小二乘法消除多元线性回归中异方差性的思想与一元线性回归的类似。多元线性回归加权最小二乘法是在平方和中加入一个适当的权数iw，以调整各项在平方和中的作用，加权最小二乘的离差平方和为：niippiiipwxxywQ1211010)(),(（2）加权最小二乘估计就是寻找参数p,10的估计值pwww?,?,?10使式（2）的离差平方和wQ 达极小。所得加权最小二乘经验回归方程记做ppwwwwxxy?110（3）220111?()(

37、)NNwiiiiiiiiQwyywyx22_1_2_02222()()?()?1111,iiNwiiiwiwiwwwwwkxiiiimiiimiwxxyyxxyxwkxxkxwx1Ni=11表示=或文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10

38、T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M

39、7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9

40、L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P

41、10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA

42、1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1

43、X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9多元回归模型加权最小二乘法的方法:首先找到权数iw，理论上最优的

44、权数iw 为误差项方差2i的倒数,即21iiw（4）误差项方差大的项接受小的权数，以降低其在式（2）平方和中的作用;误差项方差小的项接受大的权数，以提高其在平方和中的作用。由（2）式求出的加权最小二乘估计pwww?,?,?10就是参数p,10的最小方差线性无偏估计。一个需要解决的问题是误差项的方差2i是未知的,因此无法真正按照式（4）选取权数。在实际问题中误差项方差2i通常与自变量的水平有关(如误差项方差2i随着自变量的增大而增大),可以利用这种关系确定权数。例如2i与第 j 个自变量取值的平方成比例时,即2i=k2ijx 时,这时取权数为21ijixw（5）更一般的情况是误差项方差2i与某个

45、自变量jx(与|ei|的等级相关系数最大的自变量)取值的幂函数mijx 成比例，即2i=kmijx,其中 m 是待定的未知参数。此时权数为mijixw1（6）这时确定权数iw的问题转化为确定幂参数m的问题，可以借助 SPSS软件解决。第五章5.3 如果所建模型主要用于预测，应该用哪个准则来衡量回归方程的优劣？答：如果所建模型主要用于预测，则应使用pC 统计量达到最小的准则来衡量回归方程的优劣。文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1

46、X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P

47、8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:

48、CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 H

49、U1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV

50、2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编码:CA1M7R2P8Q7 HU1X9L2D9L9 ZV2P8P10T9W9文档编

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