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EM Algorithm for Empirical Bayes Estimation for Panel AR(1) Processes
- Authors
- 김영원
- Issue Date
- Jul-1992
- Publisher
- 숙명여자대학교 자연과학연구소
- Citation
- 숙명여자대학교 자연과학논문집, v.0, no.3, pp 55 - 61
- Pages
- 7
- Journal Title
- 숙명여자대학교 자연과학논문집
- Volume
- 0
- Number
- 3
- Start Page
- 55
- End Page
- 61
- Abstract
- The EM algorithm, following the general strategy of Dempster et al.(1977), is presented to obtain the maximum likelihood estimates of the hyperparameters in a panel AR(1) model when a random autoregressive coefficient has a normal prior distribution. The EM algorithm is applied to suggest a parametric empirical Bayes procedure for the model with unknown variances.
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