On the estimation problem in AR(1) model with exponential innovations

Author(s):

Abdollah Saadatmand * , AliReza Nematollahi , Soltan Mohammad Sadooghi-Alvandi

Message:
Article Type:
Research/Original Article (دارای رتبه معتبر)
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

Language:
English
Published:
Journal of Statistical Modelling: Theory and Applications, Volume:2 Issue: 2, Summer and Autumn 2021
Pages:
51 to 62
https://www.magiran.com/p2442098