Bayesian estimation of AR(1) models with uniform innovations

• Autorzy: Hocine Fellag , Karima Nouali
• Języki publikacji: EN

Abstrakty

EN

The first-order autoregressive model with uniform innovations is considered. In this paper, we propose a family of BAYES estimators based on a class of prior distributions. We obtain estimators of the parameter which perform better than the maximum likelihood estimator.

Słowa kluczowe

EN

autoregressive model; Bayesian estimator; prior distribution; uniform distribution

Kategorie tematyczne

• 62M10: Time series, auto-correlation, regression, etc.

• Wydawca: Faculty of Mathematics, Computer Science and Econometrics, University of Zielona Góra
• Czasopismo: Discussiones Mathematicae Probability and Statistics
• Rocznik: 2005
• Tom: 25
• Numer: 1
• Strony: 71-75

Daty

wydano

2005

otrzymano

2004-03-13

Twórcy

autor

Hocine Fellag

• Department of Mathematics, Faculty of Sciences, University of Tizi Ouzou, Tizi-Ouzou 15000, Algeria

autor

Karima Nouali

• Department of Mathematics, Faculty of Sciences, University of Tizi Ouzou, Tizi-Ouzou 15000, Algeria

Bibliografia

• [1] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive shemes, Communication in statistics, Theory and Methods 15 (8) (1986), 2267-2293.
• [2] M.A. Amaral Turkmann, Bayesian analysis of an autoregressive process with exponential white noise, Statistics 4 (1990), 601-608.
• [3] M. Ibazizen and H. Fellag, Bayesian estimation of an AR(1) process with exponential white noise, Statistics 37 (5) (2003), 365-372.

Identyfikatory

DOI

10.7151/dmps.1061