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