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on the estimation problem in ar(1) model with exponential innovations
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نویسنده
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saadatmand abdollah ,nematollahi ali reza ,sadooghi-alvandi soltan mohammad
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منبع
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journal of statistical modelling: theory and applications - 2021 - دوره : 2 - شماره : 2 - صفحه:51 -62
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چکیده
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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.
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کلیدواژه
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autoregressive model ,bayes estimation ,exponential innovations ,maximum likelihood estimation
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آدرس
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payame noor university, college of science, department of statistics, iran, shiraz university, college of science, department of statistics, iran, shiraz university, college of science, department of statistics, iran
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پست الکترونیکی
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smsa51@hotmail.com
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Authors
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