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