Accession Number:

ADA123460

Title:

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

Descriptive Note:

Technical rept.,

Corporate Author:

VIRGINIA POLYTECHNIC INST AND STATE UNIV BLACKSBURG

Personal Author(s):

Report Date:

1982-12-01

Pagination or Media Count:

23.0

Abstract:

Estimating the distributed lag coefficients hmTAU from a sample of the two processes when xNTAU and ynTAU 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

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE