The Selection of Smoothness Priors for Distributed Lag Estimation.

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.

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Document Details

Document Type
Technical Report
Publication Date
Jun 01, 1982
Accession Number
ADA118598

Entities

People

  • Hirotugu Akaike

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Bayesian Networks
  • Coefficients
  • Computations
  • Data Analysis
  • Estimators
  • Information Science
  • Mathematical Analysis
  • Mathematics
  • Military Research
  • Models
  • Normal Distribution
  • Probabilistic Models
  • Probability
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Fields of Study

  • Mathematics

Readers

  • Statistical inference.