Title of article
On the estimation problem in AR(1) model with exponential innovations
Author/Authors
Saadatmand, Abdollah Department of Statistics - College of Science - Payame Noor University, Tehran, Iran , Nematollahi, Ali Reza Department of Statistics - College of Science - Shiraz University, Shiraz, Iran , Sadooghi-Alvandi, Soltan Mohammad Department of Statistics - College of Science - Shiraz University, Shiraz, Iran
Pages
12
From page
51
To page
62
Abstract
In this article, the autoregressive model of order one with exponential innovations
is considered. The maximum likelihood and Bayes estimators of the autoregression
parameter, under squared error loss function with non-informative prior are
examined. A simulation study is conducted to compare the behavior of the estimators
via their relative bias and risks. Moreover, a real data example is presented.
Keywords
Autoregressive model , Bayes estimation , Exponential innovations , Maximum Likelihood estimation
Journal title
Journal of Statistical Modelling: Theory and Applications (JSMTA)
Serial Year
2021
Record number
2714893
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