Y = f (X , ) +

7.0.1

X Y
X f ()
Cobb-Douglas

Q = L1 K 2 +

7.0.2

Q L K 1 2
Y = Q X = ( L, K ) = ( , 1 , 2 ) f ( X , ) = L1 1 K1 2 Cobb-Douglas

7.0.1

C = 1 + 2Y 3 +

7.0.3

Y C 3

3 = 1 3 = 1
Cobb-Douglas

Q = L1 K 2 e

7.0.4

ln Q = ln + 1 ln L + 2 ln K +
272

7.0.5

E ( ) = 0, Var ( ) = 2

Y = X + ,

7.0.6

Y f ( X , )

|| Y f ( X , ) || min
2

g ( X , , )

, 2

L( , 2 ) = g ( X i , , 2 ) max
i =1

y
x
x

x 0 0
Sargent Powell

Logit

{t i , i = 1,2, L , n} f (t )
F (t ) r (t ) =

f (t )

1 F (t )

r (t ) Weibull

273

Gauss-Newton

Yi = f ( X i , ) + i = X 1i + 2 X 2i + i E ( i ) = 0, Var ( i ) = 2

7.1.1

S ( ) =
i =1
n

i2

= [Yi f ( X i , )]2
i =1

= Yi X1i 2 X 2i
i =1

7.1.2

S ( )
n
df ( X i , )
dS
= 2 [Yi f ( X i , )]

d
d

i =1
n

= 2 [Yi X1i 2 X 2i ] [ X1i 2X 2i ] = 0

7.1.3

i =1

i =1

X 22i

+ 3

X 1i X 2i
i =1

n
n 2
n

+ X 1i 2 X 2i Yi X 1i Yi = 0
i =1
i =1
i =1

7.1.4

3 S ( ) S ( )

Gauss-Newton Newton-Raphson

LSE Gauss-Newton

f ()

Yi = f ( X i , ) + i

274

7.1.5

S ( ) = [Yi f ( X i , )]2

7.1.6

i =1

S ( )
n
df ( X i , )
dS
= 2 [Yi f ( X i , )]
= 0
d
d

i =1

7.1.7

f ( X i , ) Taylor f ( X i , )

1 1 f ( X i , ) Taylor
f ( X i , ) f ( X i , 1 ) +

df ( X i , )
( 1 )
d

7.1.8

df ( X i , )
f ( X i , ) f ( X i , 1 )

d
1

7.1.9

Z i ( 1 ) =

df ( X i , )
d

7.1.10

S ( ) = [Yi f ( X i , 1 ) Z i (1 )( 1 )]2
i =1

n
~
= Yi (1 ) Z i (1 )
i =1

]2

7.1.11

~
Yi (1 ) = Yi f ( X i , 1 ) + Z i (1 ) 1

7.1.12

1 Yi ( 1 ) Z i ( 1 ) 7.1.11

~
Yi (1 ) = Z i (1 ) + i
Malinvaud1980

275

7.1.13

2 =

Yi (1 ) Zi (1 )
i =1

(Zi (1 ))

1
~
= Z (1 ) Z (1 ) Z (1 )Y (1 )

7.1.14

i =1

~
Y1 ( 1 )
Z 1 ( 1 )

~
Z ( 1 ) = M Y ( 1 ) = M
~

Z ( )
n 1
Yn ( 1 )

7.1.15

1 2

~
Y ( 2 ) = Z ( 2 ) +

7.1.16

3 = Z ( 2 ) Z ( 2 ) Z ( 2 ) Y% ( 2 )

7.1.17

1 , 2 ,L , n L

n+1 = Z ( n ) Z ( n )

~
Z ( n ) Y ( n )

= Z ( n ) Z ( n ) Z ( n ) Y f ( X , n ) + Z ( n ) n

1
= n + Z ( n ) Z ( n ) Z ( n ) [Y f ( X , n )]

7.1.18

f ( X , ) = [ f ( X 1 , ), f ( X 2 , ),L , f ( X n , )]
S ( ) 7.1.7

Z ( ) [Y f ( X , )] = 0
n +1 =

n 7.1.187.1.19

7.1.19

dS
= 0 S ( )
d

S ( )

S S

dS

276

dS

= 2 Z ( ) [Y f ( X , )]
d

7.1.20

7.1.18

n +1 = n

1 dS
1
Z ( n ) Z ( n )
2
d

Z Z ( Z Z )
1

dS
d

7.1.21
n

dS
d

n +1 < n
n

n +1 > n
n

7.1.1.1
t n

n +1 = n tn Z ( n ) Z ( n )

1 dS

= n + 2tn Z ( n ) Z ( n ) Z ( n ) Y f ( X , n )

7.1.22

t n Gauss-Newton

0 2 Z * ' Z * / n

Z = lim Z ( )
*

~ N , 2 Z ( ) Z ( )

2 =

S ( )
n 1

Z ( )Z ( ) X X
277

7.1.23

7.1.24

 f ()

Yi = f ( X i , ) + i , E ( i ) = 0, Var ( i ) = 2

7.1.25

m1

Y = f (X , ) +
E ( ) = 0,

7.1.26

Var ( ) = 2 I n

S ( ) = = [Y f ( X , )] [Y f ( X , )]

7.1.27

f ( X , )
S
= 2
[Y f ( X , )] = 0

7.1.28

f
( m n) (n m)

f ( X 1 , )
f ( X 1 , )
L

1
m

f ( X , )
=
L
O
L
Z ( ) =

f ( X n , )
f ( X n , )
L

1
m

7.1.29

[Z ( )] [Y f ( X , )] = 0

7.1.30

Gauss-Newton f ( X , ) 1 Taylor

f ( X , )
i
( 1 )
f ( X i , ) f ( X i , 1 ) +

1

7.1.31

f ( X , ) f ( X , 1 ) + Z ( 1 )( 1 )

7.1.32

7.1.26

Y f ( X , 1 ) + Z ( 1 )( 1 ) +
278

7.1.33

~
Y ( 1 ) = Y f ( X , 1 ) + Z ( 1 ) 1

7.1.34

Y% ( 1 ) = Z ( 1 ) +

7.1.35

n1

n k

n1

k 1

2 = Z ( 1 ) Z ( 1 ) Z ( 1 ) Y% ( 1 )

= 1 + Z ( 1 ) Z ( 1 ) Z ( 1 ) Y f ( X , 1 )

7.1.36

n +1 = n + Z ( n ) Z ( n ) Z ( n ) Y f ( X , n )

n +1 =

Z ( n ) [Y f ( X , n )] = 0

7.1.37

7.1.38

S
= 0

1
= 2 Z ( )Z ( )

2 =

()

S
nm

7.1.39

7.1.40

i i.i.d. 0 2

f ( X i , ) f ( X i , ) X i

279

 Z ( )Z ( )

1
Z ( ) Z ( )
n n
lim

7.1.41

f ()

LSE Newton-Raphson

Y = f ( X , ) + Taylor
Gauss-Newton

n+1 = n + (Z Z )1 Z (Y f ( X , n ))

7.1.42

Gauss-Newton
Newton-Raphson Taylor
S f

n +1 = n [h( n )]1

dS
d

7.1.43
n

Y = f (X , ) +

7.1.44

E ( ) = 0, Var ( ) = 2 I n f ()
n

S ( ) = [Y f ( X , )] [Y f ( X , )] = [Yi f ( X i , )]2

7.1.45

i =1

S ( ) Taylor

dS
S ( ) S ( 1 ) +
d

1 d 2S
( 1 ) +
2 d 2
1

280

( 1 )
1

7.1.46

dS
d

S ( ) S ( 1 ) 1 d 2 S

1
2 d 2

( 1 )

7.1.47

7.1.46

dS dS

d d

+ h( 1 )( 1 )

7.1.48

d 2S
h( 1 ) =
d 2

7.1.49
1

S ( ) 0

dS
d

+ h(1 )( 1 ) = 0

7.1.50

2 = 1 h ( 1 )

dS
d

7.1.51
1

S ( ) S ( )

n +1 = n [h( n )]1
n +1 =

dS
d

dS
d

7.1.52
n

= 0 n
n

S ( )
h( 1 ) S ( ) 1 h( 1 )
S ( )
tn

n +1 = n tn h ( n )

dS
d

7.1.53
n

1 S ( n +1 ) < S ( n ) h( n )
281

Gauss-Newton Newton-Raphson Gauss-Newton

7.1.21

n +1 = n

1 dS
1
Z ( n ) Z ( n )
2
d

7.1.54
n

Newton-Raphson 7.1.52

n +1 = n p n

dS
d

7.1.55
n

1
1

Z ( n ) Z ( n )
pn = 2
[h( )]1
n

Gauss Newton

7.1.56

Newton Raphson

Z ( ) h( )
n

df ( X i , )

Z ( )Z ( ) =
d i

i =1

7.1.57

h( ) =

d 2S
d 2

n
df
d
d2 n
2
(
(
)
)

(
(
)
)
2
,
=

Y
f
X
Y
f
X
,

i
i
i
i
d
d 2 i =1
d i =1

df ( X , ) 2
d 2 f ( X i , )
i

= 2
[Yi f ( X i , )]
2
d
d

i =1

n
d 2 f (X i , )
= 2 Z ( ) Z ( ) 2 [Yi f ( X i , )]
d 2
i =1

7.1.58

E (Yi ) = f ( X i , )
0

d 2S
E [h( )] = E 2 = 2 Z ( ) Z ( )
d

7.1.59

d 2 f (X i , )
(
)
[
]

Y
f
X

i
i
2
n

i =1

282

Y = f (X , ) +

7.1.60

( m 1) E ( ) = 0, Var ( ) = 2 I n Newton-Raphson

S ( ) = = (Y f ( X , )) (Y f ( X , ))

7.1.61

n +1 = n H n1

7.1.62
n

H n (m m) Hessian n

Hn =

2S

2S
2S

L
2
1 m
1
= L
O
L
2S
2S
L

m2
m 1
n

7.1.63

n S

S S
S
,
,L ,
=

m
1 2
n

7.1.64

Taylor
Hessian n +1 n
n H n

2S

= 2

( )

2 = S

( n m)

7.1.65

Gauss-Newton Newton-Raphson

n +1 = n t n Pn n

283

7.1.66

 n =

Pn tn JudgeG . G.1985
n

7.1.2

23

Gauss-Newton Newton-Raphson

Sargent Powell DASC

23

23 B (1),L , B ( Nc )
X (1),L , X ( m ) Nc
m
Judge, George G.1982
12 Nonlinear Least Squares and Nonlinear Maximum Likelihood Estimation

1=
2=
2 C

Judge, George G.1982

284

X1

X2

X1

X2

.2569

.2280

.8020

.1687

.6640

.1290

.1836

.2580

.2490

.0206

.6310

.0170

1.2129

.8210

.7710

.1002

.0590

.9060

.5226

.7670

.5110

.2523

.8110

.2230

.8479

.4950

.7580

.1033

.7580

.1450

.7634

.4870

.4250

.0789

.0500

.1610

.6231

.6780

.4520

.0058

.8230

.0060

1.0315

.7480

.8170

.7232

.4830

.8360

.5695

.7270

.8450

.7764

.6820

.5210

.8825

.6950

.9580

.2165

.1160

.9300

.1088

.4580

.0840

.5412

.4400

.4950

.0264

.9810

.0210

.3163

.4560

.1850

.0038

.0020

.2950

.1238

.3420

.0920

.4616

.4290

.2770

.3863

.3580

.4850

.2684

.2310

.5460

.2794

.1620

.9340

Cobb-Douglas :
0 : Y=B1*X1**B2*X2**B3+e
1 Holliday:
1:
Y=1./B1+B2*X+B3*X**2+e
2 Holliday:
2:
Y=1./B1+B2*X+e
1:
3:
Y=B1-B2*B3**X+e
2:
4:
Y=1./B1-B2*B3**X+e
3:
5:
Y=B1-exp-B2+B3**X+e
1 B1>B2 :
6:
Y=exp-B1*X+e
2 B1>B2 :
7:
Y=1./(B(1)-B(2))*B1*exp-B2*X-exp(-B(1)*X)+e
3 B1>B2 :
8: Y=1-1./B(1)-B(2)*(B1*exp-B2*X-B2*exp-B1*X)+e
4 B1=B2 :
9:
Y=exp-B1*X+e
5 B1=B2 :
10 : Y=B1*X*exp-B1*X+e
6 B1=B2 :
11 : Y=1-exp-B1*X-B2*X*exp-B1*X+e
:
285

12 : Y=B1*expB2/X+B3+e
:
13 : Y=B1+B2*X**-B3+e
:
14 : Y=B1*B2*X1/1+B1*X1+B2*X2+e
:
15 : Y=B1*10**B2*X/X+B3+e
:
16 : Y=B1*X**B2+e
:
17 : Y=B1*alogB2*X+B3+e
:
18 :
Y= B1+B2*X**B3+e
BOX-COX lamda :
19 :
Y=B1+B2*X**lamda-1/lamda+e
Cobb-Douglas :
20 : Y=B1*X1**B2*X2**B3+e
Cobb-Douglas :
21 : Y=B1*X1**B2*X2**B3*(X(3**B4+e
Cobb-Douglas :
22 : Y=B(1)*(X1**B(2))*(X(2)**B(3))*(X(3)**B(4))*(X(4)**B(5)+e
Cobb-Douglas
23 : Y=B(1)*(X(1)**B(2))*(X(2)**B(3))*(X(3)**B(4))*(X(4)**B(5)*(X(5)**B(6))+e
0
Nc = 3
B1= 1.3317B2= 0.7230 B3=
0.6906
:
.5519

7.1.2.1

286

Y = f ( X , ) +

7.2.1

Y = (Y1 ,L , Yn ), = (1 ,L , n ), X = ( X 1 ,L , X p ) X 1 ,L , X p n
, = (1 ,L , p ) t E ( t ) = 0, Var ( t ) = 2

t = 1,L , n

f ( ) = f ( X , ) = ( f1 ( ),L, f n ( ))

7.2.2

e( ) = Y f ( )

7.2.3

f ( )
, t = 1, L, n ; i = 1, L, p
V ( ) = t

7.2.4

2 ft ( )
W ( ) =
,

i j

t = 1,L , n ;

i, j = 1,L , p

S ( ) = Y f ( ) = (Y f ( )) (Y f ( ))

7.2.5

7.2.6

f ( ), e( ) S ( ) V ( ) n p W ( )
Wtij t = 1,L , n; i , j = 1,L , p W ( )

W ( )
N i j k l
W ( ) p p n

Taylor

Y f ( 0 ) + V ( 0 )( 0 ) +

7.2.7

Gauss-Newton
n Y f ( 0 ) + V ( 0 ) 0 p V ( 0 )
Y f ( 0 ) + V ( 0 )( 0 )

287


Y = f ( X , ) + X f ( X , ) = f ( )
n 0
Gauss-Newton Y 7.2.1.1
f ( )

y = y ( x ) K = y (1 + y )

2 32

x = x (t ), y = y (t )

&&& &&&
K = xy
xy / ( x& 2 + y& 2 ) r (t ) = {r1 (t ), r2 (t ), r3 (t )} K = r& &r& / r&
32

7.2.1.1
r = {a cos t , a sin t , bt}

r& = { a sin t , a cos t , b}

7.2.8

&r& = { a cos t , a sin t , 0}

7.2.9

r& &r& = a sin t

a cos t

b = ab sin t , ab cos t , a 2

a cos t
a sin t

7.2.10

K (t ) =

a 2b 2 + a 4

(a

+b

2 3/ 2

288

a
a + b2
2

7.2.11

 t
: r = r (u , v) : u = u (t )

v = v(t ) dr = ru du + rv dv s
ds 2 = dr 2 = ru2 du 2 + 2ru rv dudv + rv2 dv 2

7.2.12

E = ru2 , F = ru rv , G = rv2

7.2.13

1 = Edu 2 + 2 Fdudv + Gdv 2

7.2.14

E F G

L = nruu ,

M = nruv ,

N = nrvv

7.2.15

2 r1 2 r2 2 r3
, 2 , 2
2
u
u u

ruu r (u , v) = {r1 (u , v), r2 (u , v ), r3 (u , v)} u ruu =

n P L = nruu n ruu

2 = n&r&ds 2 = Ldu 2 + 2Mdudv + Ndv 2

7.2.16

ds 2

n&r& =

2
ds 2

2
1

7.2.17

: r = r ( s ) &r& n = 1

K cos =

2
1

7.2.18

n = n

Kn =

2
= n&r&
1

289

7.2.19

KnE L

KnF M

KnF M

K nG N

=0

7.2.20

L : M : N = E : F : G 0
0

n
n n f ( ) X X

= f ( )
0 b

(b ) = 0 + bh

7.2.21

, 0 , h p h = ( h1 ,L , h p ) = f ( )

h (b ) = f ( 0 + bh )

7.2.22

b = 0

& ht =

d ht
db

b =0

f t
i =1 i

d i
db

= Vti hi

t = 1,L , n

i =1

7.2.23

ht (b) b = 0

d 2 ht
&&ht =
db 2
p

d j
p
Vti hi
=
j =1 j i =1
db
p

b=0

= Wtij hi h j , t = 1,L, n

7.2.24

i =1 j =1

h (b) b h (b)

&&h b = 0
&h &&h & h b = 0

290

&&hN &&hP & h

&&hG & h
&&h = &&hN + &&hP + &&hG

7.2.25

h b
h , h

&&h
&h

& h =

&&h =
=

d d ds
ds
=

=
db ds db
db

7.2.26

d 2

d ds
d 2s
=
+ 2
db 2 ds db
db

7.2.27

d
d
&&h
r&
&r&
ds
ds

d 2s
d
&&hN

2
ds
db

ds
K n
db

d
K n = n &&
r=
ds

d ds 2

ds db

=
2
ds

db

&&hN

( &

&&hN
&h

7.2.28

&&h & h &ht = Vtihi &&ht = Wtij hi h j

i=1

i =1 u =1

t = 1, L , n V = (V1 ,L , V p )
Vi n W = (Wij ) Wij n

& h = Vh

7.2.29

&&h = hWh

7.2.30

Kn =

K hN

&&hN
& h

(hWh)N
Vh

7.2.31

h h K hN
291

&&h &&hN &&hT &&hT = &&hP + &&hG ,&&hN + &&hT = &&h

K =
T
h

&&hT
& h

(hWh)T
Vh

7.2.32

d 2s
b &&hT h
&&
2
db
T
h

b K hN

Y = f ( X , ) + , ~ N 0, 2 I n

7.3.1

l , 2 Y , X =

(2 )

2 n/2

(2 )

2 n/2

1
[Y f ( X , )] [Y f ( X , )]
exp
2
2

S ( )
exp
2
2

292

7.3.2

S ( )
n
n
L , 2 Y , X = ln l , 2 Y , X = ln ( 2 ) ln 2
2
2
2 2

7.3.3

L
= 0

2 2 L 2

2 =

1
S ( )
n

7.3.4

n
n S ( ) n
L* ( Y , X ) = ln (2 ) ln

2
2
2
n
n
= C ln S ( )
2
C =

7.3.5

n
[ln(2 ) 1]
2

S ( )
MLE LSE
MLE LSE

= ,

) MLE % = ( % , )
2

d
n ( )

N (0, )

= lim I ( )
n n

7.3.6

I ( ) Fisher

2L

2L

= E 2
I ( ) = E
L

2

2L 2
Z ( ) Z ( )
2

2
L
O

2 2

( )

n 4

2

7.3.7

= 2 Z ( ) Z ( )

293

7.3.8

7.1.39

7.3.1

7.1.2 23 8

Powell

7.1.2

Judge, George G1982 12

Y = 1 X 1 + 12 X 2

X1

X2

X1

X2

3.2840

.2860

.6450

1.1060

.9360

.1420

3.1490

.9730

.5850

.4280

.8890

.2960

2.8770

.3840

.3100

.0110

.0060

.1750

-.4670

.2760

.0580

1.1790

.8280

.1800

1.2110

.9730

.4550

1.8580

.3990

.8420

1.3890

.5430

.7790

.3880

.6170

.0390

1.1450

.9570

.2590

.6510

.9390

.1030

2.3210

.9480

.2020

.5930

.7840

.6200

.9980

.5430

.0280

.0460

.0720

.1580

.3790

.7970

.0990

1.1520

.8890

.7040

a*X[0]+a*a*X[1] a
axy:a*x+a*a*y
Powell : B1= 1.161185, : 16.307970

294

 7.3.1.1

5000
0

Newton-Raphson BHHH
BerndtHall, BHall, S.G Hausman1974
I ( ) 7.3.4

2 tn
MLE

n+1 = n Pn

7.3.9

2L

Newton-Raphson Pn =

n

n+1

2 L L

= n

n

1 2 S 1 S

= n 2
2 2 2
n
n

2 S S

= n

n

7.3.10
n

7.2.20
1

2
2
= L = 2 2 S

7.3.11

Pn Hessian
295

 Hessian
1

2 L
Pn = E

7.3.12

n+1

2 L L
1
1 S

= n 2 Z ( n ) Z ( n ) 2
= n E

n
n

= n

1 S
1
Z ( n ) Z ( n )
2

7.3.13
n

Gauss-Newton 7.1.217.2.12
1

2L
= 2 Z ( )Z ( ) n
= E
n

7.3.14

BHHH

Li = L , Yi , X i
2

[Y f ( X i , )]
1
1
= ln (2 ) ln 2 i
2
2
2 2

7.3.15

Pn

n L L
Pn = i i
i =1

7.3.16
n , 2

Li [Yi f ( X i , )] f ( X i , )
=

7.3.17

n L L
L
n +1 = n + i i

i =1 n , 2 n
1

n [Y f ( X i , )]2 f ( X i , ) f ( X i , ) 1 S

= n + i

2 2

n
i =1
n
1

S
1 n
2 f ( X i , ) f ( X i , )

= n 2 [Yi f ( X i , )]
2 i =1

n
296

7.3.18
n

n L
E i
i =1

Li
1

= 2

f ( X i , ) f ( X i , )
1
= 2 Z ( ) Z ( ) 7.3.19

i =1
n

n Li

i =1

n
Li
L

i
i =1

Li
BHHH

BHHH
1

n L L
= i i
i =1 , 2
4

= [Yi f ( X i , )]
i =1

f ( X i , ) f ( X i , )

7.3.20

Logit Probit
P

Gompertz

Y = exp ( 1 2 3t ) + ,
Logistic
297

2 , 3 > 0

7.4.1

Y=

1
+,
1 + exp ( 2 3t )

3 > 0

7.4.2

t > 0, 3 > 0

7.4.3

Weibull

Y = 1 2 exp 3t 4 + ,

t
S Weibull t > 0
S

Y a a Y

dY
= x(a Y )
dt

7.4.4

Y = a(1 e kt ) +

7.4.5

t + Y t Y
S

dY
a Y

/ Y
dt
a
dY
7.4.6
/ Y = k (a Y ) / a
dt
dZ
k
1
Z = Y
= kZ +
dt
a
Y

Y = a 1 + e kt

7.4.7

Logistic
ln a ln Y Y

dY
Y = k (ln a ln Y )
dt

7.4.8

Gompertz

Y = a exp - e -kt +

7.4.9

S Z = ln Y

Z = e kt +
S
298

7.4.10

 S
Holliday

Y = ( 1 + 2 x + 3 x 2 ) +

7.4.11

Y = x +

7.4.12

Y = exp ( + x ) +

7.4.13

4 Von Bertalanffy
1

Y = ( 1 m e kt )1 m +

7.4.14

, , k , m
m = 0 =

Y = (1 e kt ) +

7.4.15

+
1 + e kt

7.4.16

m = 2 =

Y=

Logistic
m 1

m
1

1 m 1 m

m
dY
1
1
Y ( ke kt )
=
1 m e kt )1 m ( ke kt )
(
1 m
dt 1 m

7.4.17

1
dY
7.4.18
Y
ke kt
dt
1 m
Gompertz m = 1 m > 1 < 0
m < 1 > 0

7.4.1

8 t
299

 X 8 7.3.1

Gompertz

y = exp( 1 2 3 ) +
t

2.0950

-.4905

2.8817

-1.0695

1.4667

-.3398

.2254

3.1122

.6428

.0238

2.0818

-.6635

1.9618

-.5893

2.4470

-.9945

2.8567

-1.0907

.5714

.7384

.3813

.2187

1.3588

-.1084

2.0363

-.6831

.8017

.2850

.9065

.2223

.9058

-.0503

.1433

.5252

-.4014

1.2285

1.5764

-.5043

.7887

.4296

1.1592

.1031

2.3204

-.8338

1.4041

-.5042

.1008

1.3834

1.1234

-.1882

1.6484

-.4252

1.1706

.0992

.7416

.2780

.3403

.5970

-.2893

1.4112

Compertz :
0 :
Y=expB1-B2*B3**X+e
Compertz :
1 :
Y=expB1-B2*B3**X+e
Logistic 1 :
2 :
Y=B1/1+expB2-B3*X+e
Logistic 2:
3 :
Y=B1/1+expB2-B3*B4**X+e
Weibull 2:
4 :
Y=B1-B2*exp-B3*X**B4+e
:
5 :
Y=B1*1-B2*exp-B3*X+e
:
6 :
Y=B1/1+B2*exp-B3*X+e
Compertz :
7 :
Y=B1*exp-B2*exp-B3*X+e
4 Bertalanffy :
8: Y=B1**1-B2-B3*exp-B4*X
**1./1-B2+e
:
9: Y=exp-exp-x-B1/B2+e
S :
10: Y=1-exp-exp-x-B1/B2+e
Compertz Nc = 3
300

 FX=
1.538
: B1= 1.9726, B2=
:
1.5383

1.9713,

B3=

1.9556

7.4.1.1

B (1), B (2), B (3) 5%

S
333 111
1.16671.0001.000 222

Y = exp(1.1667 1t )
t Y
3 = 1 t Y

y = x y = sin x
2

301

 n t1 ,L , t p

p k 1

f ( t ) = 0 + 1t + L + k 1t k 1

7.4.19

i j Yij

Y = (Yij )n p , X = (1,1,L,1)1n
B = ( 0 , 1,L, k 1 )1k
1
1

t2
t1
Z =
L
L
k 1 k 1
t1
t2

7.4.20
7.4.21

L tp
L L

L t kp 1
k p
L

7.4.22

Y = XBZ +

7.4.23

E ( i ) = 0,

( )

E i2 = i2 ,

Cov( i , i ) = ij

i, j = 1,L, p

7.4.24

Z
X , Z 7.4.23

1997 William H.Green Econometric Analysis

Duration DataHarzard Rate Model

302

 Weibull

t1 , t2 ,L , tn n
n n n

T t1 , t2 ,L , tn T n T
f (t ) F (t )

F (t ) = f (s )ds = P(T < t )

t

7.5.1

t T T < t
t t

R(t ) = 1 F (t ) = P(T t )

7.5.2

l ( t1 , t2 ) = P ( t1 T < t2 T t1 )

7.5.3

l (t , t + t ) = P(t T < t + t T t )

7.5.4

r (t )

P (t T < t + t T t )
l (t , t + t )
= lim
t 0
t 0
t
t

r (t ) = lim

F (t + t ) F (t )
f (t )
=
t 0
R(t )
1 F (t )

= lim

7.5.5

t
t

r (t ) r (t ) f (t ) F (t )

303

r (t ) =

d ln R(t )
dt

7.5.6

R(t ) = exp(

r (t )dt )

7.5.7

F (t ) = 1 R (t ), f (t ) = R(t )
Weibull Weibull

y = x , x > 0
2

r (t ) = mt m 1,

m >1

7.5.8

0 r (s )ds = 0 ms

m 1

ds = t m

7.5.9

R(t ) = 1 F (t ) = e t

F (t ) = 1 R(t ) = 1 e t
f (t ) = mt m 1e t

7.5.10
m

7.5.11
7.5.12

Weibwll
m < 1
y =

1
, x > 0
x

r ( t ) = mt m1 , m < 1

7.5.13

m < 1
m = 1

r (t ) =

7.5.14

R(t ) = e t

7.5.15

F (t ) = 1 e t

7.5.16

304

f (t ) = e t

7.5.17

Weibull

t1 , t2 ,L , tn
t1 , t2 ,L , tn
f1 , f2 , K, fn
m
Yi = fi = mtim 1e t i i

7.5.18

, m

ln fi = ln(m ) + (m 1)ln ti t im + ln i

7.5.19

m
Yi = fi = mtim 1e t i + i

7.5.20

t1 , t2 ,L , tn

Fi =

i
,
n +1

i = 1, L , n

7.5.21

Fi = 1 e ti + i
m

7.5.22

ln 1 Fi = t im + i

7.5.23

Weibull

ln ln 1 Fi = ln( ) + m ln t i + i

7.5.24

305

ri =

fi
1 Fi

7.5.25

7.5.1.1

7.5.1.1
Weibull

Weibull

Weibull

r (t ) = f (t ) (1 F (t ))
Weibull

Weibull
Weibull
IFR
DFR
r t
306

1m1t m1 1

r (t ) = 0

m t m2 1
2 2

0 < t t10
t10 < t t 20

7.5.26

t 20 < t

0 , i , mi , t i0 , i = 1,2 m1 < 1, m2 > 1 r (t )

t i0 = 0
i mi

mi 1

, i = 1,2

7.5.27

5
t
R(t ) = exp r (t )dt
0

exp(-1t m1 )

= c0 exp(0t )

m
c2 exp(2t 2 )
0 m1

c0 = exp(1 (t1 )

0 < t t10
t10 < t t20

7.5.28

t20 < t

+ 0 t10 ), c 2 = c0 exp(0 t 20 + 2 (t 20 ) m2 )

t
t1

R(t ) = exp 1m1t m 11dt 0 0 dt ,

t1
0

t
R(t ) = R(t20 ) exp 0 2m2t m 2 1dt ,
t2

t10 < t t 20

t 20 < t

F (t ) = 1 R (t ) Weibull

1m1t m1 1 exp(-1t m1 )

f (t ) = c0 0 exp(0 t )

m 1
m
c 2 2 m2 t 2 exp(2 t 2 )

0 < t t10
t10 < t t 20

7.5.29

t 20 < t

t1 = +, F {DFR} t1 = t 2 = 0, F {IFR} Weibull t1 = 0,

0

t 20 = + F IFRDFR

0 < t10 t 20 < + 4 c(t ), (t ), m(t )

307

 t10 , t20 , f (t )

f (t ) = c(t ) (t )m(t )t m(t )1 exp( (t )t m(t ) ), t > 0

7.5.30

f (t ) 1
Weibull
Weibull F (t )

1 exp(-1t m1 )

F (t ) = 1 c0 exp(0 t )

1 c 2 exp( 2 t m2 )

X i = ln t i , Yi = ln ln

0 < t t10
t10 < t t 20

7.5.31

t 20 < t

i
1
( X i , Yi ), i = 1, 2,L , n
, Fi =
n +1
1 Fi

t10 , t20 i , mi

Weibull

r (t ) =

f (t )
1 F (t )

(7.5.32)

f (t )
F ( x )
i.i.d . x1 , x2 ,L , xn Fn* ( x )

Fn* ( x ) F ( x ), a.s Fn* ( x ) Fn (x )

Fn ( x ) 1
F ( x ) f n ( x ) = Fn ( x ) f ( x )

Fn ( x )

308

dx

dF

 f n ( x )
t1 , t2 ,L tn

t i = ( 3t i 2 + 12t i 1 + 17t i + 12t i +1 3t i + 2 ) / 35

7.5.33

i = 3, 4,L , n 2 t1 , t2 ,L tn

Fi =

i
, i = 1, L , n
n +1

7.5.34

dt

dF

1
= ( 2t i 2 t i 1 + t i +1 + 2t i + 2 ) / 10
fi

7.5.35

i = 3, 4,L , n 2 fi Fi ti

r ( t ) =

f ( t )
1 F ( t )

7.5.36

ri =

fi
1 Fi

7.5.37

(ti , ri ) Weibull
Weibull
(ln ti , ln ri )

ln(1m1 ) + (m1 1) ln t

ln r (t ) = ln 0

ln(2 m2 ) + (m2 1) ln t

0 < t t10
t10 < t t 20

7.5.38

t 20 < 1

i , mi , t i , i = 1,2
Weibull Weibull

r (t )
1 n1 n1 + 1 n 2 n 2 1 n ln ti , ln ri

309

7.5.38
n1

Q1 = (ln ri a1 b1 ln t i )2 min

7.5.39

i =1

Q0 =

Q2 =

n2

(ln r

a 0 ) min
2

i = n1 +1
n

( ln r a

i = n2 +1

7.5.40

b2 ln ti ) min
2

7.5.41

a0 , ai , bi , i = 1, 2 n1 , n2

Q = Q1 + Q0 + Q2

7.5.42

i =

0 = exp( a 0 )

7.5.43

mi = bi + 1

7.5.44

1
exp( ai )
bi + 1

ti0 = exp(

7.5.45

a0 ai
)
bi

7.5.46

i = 1, 2 Weibull 7.5.29
4
ti0 n1 , n2 t1 t 2 t i0
0

n1 , n2 t10 = tn1 , t20 = tn2 r (t )

(ln t

n1

) (

) (

, a 0 ln t n1 +1 , a0 ln t n2 , a 0 ln t n2 +1 , a 0 7.5.39

7.5.40

ln t n1

a0 a1
= ln t10 ln t n1 +1
b1

7.5.47

ln t n2

a0 a 2
= ln t 20 ln t n2 +1
b2

7.5.48

a1 , b1
7.5.39

310

n1

( yi a0 )(xn

b1 = i =1

xi

n1

(xn

xi

i =1

)
7.5.49

a1 = a 0 b1 x n1

7.5.50

xn1 x n1 +1 b1, a1 Q1 b1 , a1
7.5.487.5.41
n

( y a )( x

i = n +1
b2 = 2

(x

i = n2 +1

n2

n2

xi

xi

a 2 = a0 b2 x n2

7.5.51

7.5.52

x n2 x n2 +1 Q2
n1 , n2 7.5.42
Q = Q(n1 , n2 ) n1 , n2 Qmin = Q (n1 , n2 ) 7.5.437.5.46
Weibull 7.5.29
7.5.477.5.48

7.5.33

7.5.35 ti , f i n
f (t ) f (t ), F (t ) F (t ) 1 7.5.36

r ( t ) r ( t ) ri r(t ) r (t ) Weibull (ti , ri )

r(t ) r (t )

7.5.2

Weibull

r (t ) Weibull

311

1 1
t 2
6
1
r (t ) =
6
1 3
150 t

m1 =

0 < t 1
1< t 5

7.5.53

5<t

1
1
1
1
Monte Carlo n
, 1 = , 0 = , m 2 = 3, 2 =
450
6
3
2

t1 , t 2 , L , t n f (t ) n
1
1 1
1
t 2 exp(- t 2 )
3
6
1
1
f (t ) = exp( (t + 1))
6
6
1 2
13 t 3
t exp(
)

18 450
150

0 < t 1
1< t 5

7.5.54

5<t

f (t ) ri ri
7.5.2.1 ri

ln r (t )

Weibull Weibull
n1 = n2 = n n1 = n2 = 0

: n1= 66,

n2=132

m1
.613

1
.335

7.5.2.1
.001
.059
.187
.368
1.272

.004
.075
.233
.414
1.365

0
.250

m2
3.463

2
.001

t1
1.212

t2
4.274

n=154
.005
.097
.243
.466
1.414

.008
.009
.253
.500
1.465

.010
.129
.256
.618
1.523

312

.017
.135
.259
.675
1.526

.021
.146
.289
.951
1.580

.022
.150
.335
1.052
1.648

.053
.160
.359
1.069
1.679

1.681
1.981
2.674
3.676
4.479
5.172
6.456
7.126
7.337
7.933
8.943
9.697
13.049

1.707
2.037
2.823
3.848
4.707
5.248
6.494
7.139
7.564
8.050
9.036
10.239

1.849
2.043
2.852
3.977
4.719
5.808
6.542
7.157
7.614
8.261
9.271
10.343

1.937
2.136
2.907
3.992
4.771
5.863
6.683
7.157
7.666
8.422
9.273
10.533

1.950
2.186
2.925
4.169
4.889
6.059
6.736
7.190
7.779
8.523
9.339
10.564

1.963
2.291
3.176
4.174
5.076
6.086
6.765
7.233
7.796
8.565
9.353
10.699

1.963
2.359
3.300
4.178
5.094
6.249
6.933
7.281
7.807
8.702
9.360
11.010

1.965
2.509
3.414
4.201
5.121
6.338
7.079
7.349
7.839
8.906
9.387
11.362

1.981
2.578
3.474
4.279
5.143
6.436
7.110
7.374
7.887
8.911
9.603
11.501

f (t) ln rt
7.5.2.1

7.5.2.1
Weibull

0 0

Weibull
t10

t 20

t1

t2

E (T ) = + 0 + 0 t f (t )dt
t10

t20

t1

t2

= c11m1t m1 1e 1t tdt + 0 c0 0 e 0t tdt + 0 c22 m2t m2 1e 2t tdt

m1

t10

t20

t1

t2

= c1tde 1t c0 0 tde 0t 0 c2tde 2t

m1

= c1te 1t

m1

t10
0

t10

+ c1 e 1t dt c0te 0t
0

m1

t20

m2

m2

t20

+ c0 0 e 0t dt c2te 2t
0

t1

313

t1

m2

0
2

+ c2 0 e 2t dt
t2

m2

0 1 t10
11

= c t e

m1

0 0 t 20
0 2

c t e
c0

0m1

(e

0 t10

0 0 t10
0 1

+c t e

0 t 20

0 2 t 20
2 2

+c t e

m2

1
c
+ 1 1 m1 y1
m1
m1

1
c 1
+ 2 2 m2 y 2
m2
m2
m2

7.5.55

0m2

y1 = 1t1 , y2 = 2t0

y ( ) = x 1e z dx
y

7.5.56

c1 = 1 c0 c2 7.5.28

DFRIFR
Weibull 7.5.30
n

L = c ( ti ) ( ti ) m ( ti ) ti
i =1

m ( ti ) 1

)e

(ti )tim(ti )
i =1

ti > 0

7.5.57

c0 , c2 i , mi t i0 i , mi
t i0 i , mi
7 Weibull
5

314