Accession Number : ADA118598

Title :   The Selection of Smoothness Priors for Distributed Lag Estimation.

Descriptive Note : Technical summary rept.,

Corporate Author : WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s) : Akaike,Hirotugu

PDF Url : ADA118598

Report Date : Jun 1982

Pagination or Media Count : 17

Abstract : In the application of Shiller's smoothness prior for distributed lag estimation the main difficulty is the selection of hyperparameters of the prior distribution. In this paper the use of a maximum likelihood procedure is proposed for this purpose and its performance is demonstrated by numerical examples.

Descriptors :   *Maximum likelihood estimation, *Bayes theorem, Linear systems, Numerical methods and procedures, Parameters, Coefficients, Optimization, Normal distribution, Mathematical models, Analysis of variance, Delay

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE