CIRJE-F-478 "On the estimation of a large sparse Bayesian system: the Snaer program"
Author Name Danilov, Dmitry and Jan R. Magnus
Date February 2007
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Remarks Subsequently published in Computational Statistics & Data Analysis, 52, 4203--4224.@
Abstract

The Snaer program calculates the posterior mean and variance of variables on some of which we have data (with precisions), on some we have prior information (with precisions), and on some prior indicator ratios (with precisions) are available. The variables must satisfy anumber of exact restrictions. The system is both large and sparse. Two aspects of the sta-tistical and computational development are a practical procedure to solve a linear integer system, and a stable linearization routine for ratios. We test our numerical method to solve large sparse linear least-squares estimation problems, and find that it performs well, even when the n×k design matrix is large(nk equivalent 227.5).