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系統識別號 U0002-2406200813351600
中文論文名稱 逐步設限資料的統計推論
英文論文名稱 Some Inferential Methods Based on Progressively Censored Data
校院名稱 淡江大學
系所名稱(中) 數學學系博士班
系所名稱(英) Department of Mathematics
學年度 96
學期 2
出版年 97
研究生中文姓名 吳正新
研究生英文姓名 Jeng-Shin Wu
學號 890150021
學位類別 博士
語文別 中文
口試日期 2008-05-02
論文頁數 117頁
口試委員 指導教授-林千代
委員-陳麗霞
委員-黃連成
委員-伍志祥
委員-吳碩傑
委員-林千代
中文關鍵字 最大概似逼近法  貝氏估計法  條件法  EM演算法  馬可夫鏈蒙地卡羅法  模擬退火演算法 
英文關鍵字 Approximate maximum likelihood estimation  Bayesian estimation  Conditional method  EM-algorithm  Markov Chain Monte Carlo method  Simulated annealing algorithm 
學科別分類
中文摘要 本論文針對不同逐步設限資料(progressively censored data)探討在 log-gamma 和線性失敗率 (linear failure rate) 模式下的估計問題, 以及在韋伯(Weibull)和對數常態(log-normal)模式下的壽命檢測計劃。在形狀(shape)參數已知的情況下, 我們分別以牛頓法, EM 演算法和修正的 EM 演算法來計算逐步型 II 設限資料(progressively Type-II censored data)下log-gamma 分配之位置(location) 和尺度(scale)參數的最大概似估計值, 並利用條件法和蒙地卡羅法求取位置和尺度參數, 百分位數與可靠度函數的信賴區間。我們又分別利用傳統的貝氏推導方式和馬可夫鏈蒙地卡羅(Markov Chain Monte Carlo)法來求取廣義逐步型 II 設限資料(general progressively Type-II censored data)下線性失敗率分配參數的貝氏估計值和其預測值, 並使用不同先驗(prior)分配來探討這些估計值的敏感性分析(sensitivity analysis)。最後, 我們利用模擬退火演算法(simulated annealing algorithm)找出逐步區間設限計劃 (progressively interval censoring plan) 下雙參數韋伯和對數常態模式的最佳檢測時間(optimally spaced inspection times), 並比較四種不同最佳檢測時間所求得的參數最大概似估計值之漸近相對效率 (asymptotic relative efficiency)。
英文摘要 In this dissertation, we first discuss the estimations of parameters for log-gamma and linear failure rate distributions based on different kinds of progressively censored data. By assuming the shape parameter to be known, we apply three different methods -- Newton-Raphson method, the EM algorithm, and a new modified EM algorithm, to compute the maximum likelihood estimates of location and scale parameters of the log-gamma distribution based on progressively Type-II censored data. We also construct the conditional and unconditional confidence intervals for the location and scale parameters, the quantiles and the reliability function. Next, we employ the conventional Bayesian derivation and the Markov Chain Monte Carlo method to obtain the Bayesian estimates of parameters and predict the missing values and the future samples for the linear failure rate distribution based on the general progressively Type-II censored data. The sensitivity of these estimates to the modest changes in the prior is further examined. We then apply simulated annealing algorithm to determine the optimally spaced inspection times for the Weibull and log-normal distributions for any given progressive interval censoring plan. The comparison of the asymptotic relative efficiencies of the maximum likelihood estimates of the parameters under four different inspection schemes is made at the end.
論文目次 1 緒論 ............................................................................................................... 1
1.1 研究動機 .................................................................................................. 1
1.2 文獻回顧與研究目的................................................................................ 2
1.3 本文架構.................................................................................................... 5

2 最大概似估計法 ......................................................................................... 7
2.1 最大概似估計值...................................................................................... 9
2.1.1 最大概似逼近法 (Approximate Maximum Likelihood Estimation). 10
2.1.2 EM (Expectation-Maximization) 演算法............................................ 15
2.1.3 修正的 EM 演算法........................................................................... 19
2.2 數值分析.................................................................................................. 20

3 區間估計 ..................................................................................................... 24
3.1 最大概似估計值的大樣本性質.............................................................. 24
3.2 蒙地卡羅法.............................................................................................. 25
3.3 條件法 (Conditional Method)................................................................. 31
3.3.1 Z1 和 Z2 的聯合條件分配........................................................... 35
3.3.2 Z2 的邊際條件分配及參數 σ 的精確信賴區間.................... 36
3.3.3 Z1 的邊際條件累積分配函數及參數 μ 的精確信賴區間........................ 37
3.3.4 百分位數的精確信賴區間和可靠度函數的精確信賴下界............ 38
3.4 數值分析................................................................................................. 39
3.4.1 模擬比較............................................................................................ 39
3.4.2 範例.................................................................................................... 42

4 貝氏估計法 ................................................................................................ 44
4.1 傳統貝氏推論......................................................................................... 45
4.1.1 貝氏估計............................................................................................ 45
4.1.2 貝氏預測............................................................................................ 47
4.2 馬可夫鏈蒙地卡羅(Markov Chain Monte Carlo)法............................ 49
4.3 最大概似估計法..................................................................................... 54
4.4 數值分析................................................................................................. 60
4.4.1 模擬比較............................................................................................ 61
4.4.2 敏感性分析 (Sensitivity Analysis).................................................... 63
4.4.3 實際資料分析.................................................................................... 65

5 逐步型 I 區間設限抽樣下的壽命檢測計劃 ........................................... 70
5.1 逐步型 I 設限資料下的壽命檢測計劃................................................ 71
5.2 韋伯分配................................................................................................. 74
5.2.1 費雪情報矩陣.................................................................................... 74
5.2.2 最佳檢測時間與檢測次數................................................................ 76
5.2.3 敏感性分析........................................................................................ 79
5.2.4 檢測方式的比較................................................................................ 84
5.3 對數常態分配......................................................................................... 84
5.3.1 費雪情報矩陣.................................................................................... 88
5.3.2 最佳檢測時間與檢測次數................................................................ 89
5.3.3 常態分配的對稱性............................................................................ 90
5.3.4 檢測方式的比較................................................................................ 91
5.4 最佳逐步設限計劃 (Optimal Progressive Censoring Scheme)............. 91
5.4.1 韋伯分配............................................................................................ 93
5.4.2 常態分配............................................................................................ 94
5.5 可靠度抽樣計劃 (Reliability Sampling Planning)................................ 96
5.5.1 韋伯分配............................................................................................ 97
5.5.2 對數常態分配.................................................................................. 100

6 結論 .......................................................................................................... 102

附錄 A: 模擬退火演算法 .......................................................................... 104
附錄 B: 有關第 5 章對數常態分配的部分模擬結果 ............................ 107

參考資料 ..................................................................................................... 112



表目錄
2.1 最大概似估計值和最大概似逼近估計值的比較.................................... 14
2.2 資料 A-D 在 log-gamma 分配假設下參數的估計值........................... 22
2.3 不同演算方式所需的疊代次數 ............................................................ 22

3.1 統計量 P1, P2 和 P3 的覆蓋率............................................................ 26
3.2 Z1 和 Z2 的模擬百分位數...................................................................... 28
3.3 檢驗 Z1 和 Z2 的模擬百分位數之穩定性的結果.................................. 31
3.4 蒙地卡羅法和條件法的比較: 100 次機率值 P(Pi,2.5% ≦ Zi ≦ Pi,97.5%| a),i=1,2, 的平均......40
3.5 資料 A-D 在 log-gamma 分配假設下, 參數的最大概似估計值及其信賴區間.............. 43
3.6 資料 A-D 在 log-gamma 分配假設下, 百分位數和可靠度函數的最大概似估計值及其信賴下界..............43

4.1 參數 λ 和 υ 在樣本數 n=25 的估計值及標準誤............................ 61
4.2 在先驗分配 α1=1, α2=2.5, β1=1.5, β2=1.5 假設下, 參數 λ 和 υ 在樣本數 n=25 的貝氏估計值及標準誤........................... 62
4.3 參數 λ 和 υ 以及 G1 和 G2 的敏感性分析............................ 64
4.4 洪水量資料在線性失敗率分配假設下的參數貝氏估計值和預測值.............. 67

5.1 韋伯分配在二種不同逐步設限計劃下, 以 ξi=( ti/b)c, i=1,…,m 型式來表示的最佳檢測時間及參數的漸近相對效率, ARE(b) 和 ARE(c), 的值..............77
5.2 表 5.1 在使用準則 CR1 下, 參數 b 和 c 之漸近相對效率的加權組合: λARE(b) + (1-λ) ARE(c), λ=0.1(0.1)0.9 ..............78
5.3檢測終止時間固定在韋伯分配(b=1,c=1) 之 90% 百分位數和 70% 百分位數情況下的最檢測時間及參數的漸近相對效率 ..............79
5.4 捨入誤差對韋伯分配之參數的漸近相對效率影響的比較 .............................80
5.5 韋伯分配參數 b 和 c 之漸近相對效率的敏感性分析.................................81
5.6 在逐步設限計劃為 q1=q2=…=qm-1=0 和 qm=1 下, 韋伯分配選用不同檢測時間其參數漸近相對效率的比較.............. 85
5.7 在逐步設限計劃為 q1=0.1, q2= 0, q3=0.2 q4=…=qm-1=0 和 qm=1下, 韋伯分配選用不同檢測時間其參數漸近相對效率的比較.............. 86
5.8 在準則 CR1 和逐步設限計劃q1=q2=…=qm-1=0 下, 利用 (5.12) 式的設定方式所得到的最佳檢測時間以及參數的漸近相對效率.............. 91
5.9 在不同逐步設限計劃下, 常態分配選用不同檢測時間其參數漸近相對效率的比較......... 92
5.10 在逐步設限計劃為 q1=…=qm-1=0 的情況下, 常態分配在不同檢測次數以 (t-μ)/σ 型式表示的最佳等距檢測時間..............92
5.11 在 n=200 和 m=8 時, 韋伯分配在選用不同檢測時間和不同期望移除比例的最佳逐步設限計劃 ..............94
5.12 在檢測次數 m=8 時, 韋伯分配之最佳逐步設限計劃的敏感性分析............95
5.13 在 n=200 和 m=5 時, 常態分配在選用不同檢測時間和不同期望移除比例的最佳逐步設限計劃.........95
5.14 在檢測次數 m=5 時, 常態分配之最佳逐步設限計劃的敏感性分析............96
5.15 韋伯分配的可靠度抽樣計劃 .................................................................. 100
5.16 對數常態分配的可靠度抽樣計劃................................................................ 101

6.1 常態分配在二種不同逐步區間設限計劃下, 以 ξi *=(ti-μ)/σ, i=1,…,m 型式來表示的最佳檢測時間及參數的漸近相對效率, ARE(μ) 和 ARE(σ) 的值..............107
6.2 表 6.1 在使用準則 CR1 下, 參數 μ 和 σ 漸近相對效率的加權組合: λARE(μ) + (1-λ)ARE(σ), λ=0.1(0.1)0.9 ..............108
6.3 捨入誤差對常態分配之參數的漸近相對效率影響的比較... .........................109
6.4 常態分配參數 μ 和 σ 之漸近相對效率的敏感性分析 ................................... 110



圖目錄
2.1 EM 演算法中參數 μ 和 σ 收斂過程的軌跡圖.........................................20
2.2 資料 A 在 k=10.6204 時, 利用 EM 演算法和修正 EM 演算法參數收斂過程的軌跡圖....23
2.3 資料 B 在 k=8.4504 時, 利用 EM 演算法和修正 EM 演算法參數收斂過程的軌跡圖.....23
4.1 後驗分配機率密度函數在選用不同先驗分配之參數 (α1, α2, β1, β2) 的比較..............66
4.2 利用 Gibbs 抽樣所產生參數 λ 和 υ 的 5000 筆樣本之後驗密度函數的核估計圖形, 樣本的時間序列圖, 以及時差自相關的圖形..............68
4.3 利用 Gibbs 抽樣所產生 (a)Y{1:5}[23] (b) Y{2:5}[23] (c) Y{3:5}[23] (d) Y{4:5}[23] (e) Y{5:5}[23] (f) G1= Y{j:5}[23] 的 5000 筆樣本之後驗密度函數的核估計圖形, 樣本的時間序列圖, 以及時差自相關的圖形 .............. 68
4.4 G1 後驗密度函數之核估計圖形在不同逐步設限計劃下的比較.............. 69
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