Estimating Distributed Lag Coefficients when there are Errors in the Observed Time Series.

Abstract

Estimating the distributed lag coefficients (h(mTAU)) from a sample of the two processes when (x(NTAU)) and (y(nTAU)) are measured with error is a statistical problem that is frequently encountered in physical science, engineering, and social science applications. In the engineering and science literature the distributed lags are called the impulse response weights of a causal linear filter. A least squares fit of the model gives biased estimates of the coefficients for this time series version of the errors-in-variables problem. This paper presents approximately unbiased estimators of a scalar multiple of the coefficients. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Dec 01, 1982
Accession Number
ADA123460

Entities

People

  • Melvin J. Hinich

Organizations

  • Virginia Tech

Tags

Communities of Interest

  • Air Platforms
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Additives (Chemicals)
  • Coefficients
  • Covariance
  • Data Analysis
  • Data Science
  • Discrete Fourier Transforms
  • Engineering
  • Errors
  • Estimators
  • Frequency
  • Information Science
  • Integrals
  • New York
  • Physical Sciences
  • Social Sciences
  • Spectra
  • Transfer Functions

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Regression Analysis.