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
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)
