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

نویسندگان
Sadooghi-Alvandi, Soltan Mohammad ID 1
Saadatmand, Abdollah ID 2
Nematollahi, Ali Reza ID 3

1 Department of Statistics, College of Science, Shiraz University, Shiraz, Iran.

2 Department of Statistics, Faculty of Science, Payame Noor University, P. O. Box, 19395 - 4697, Tehran, Iran.

3 Department of Statistics, College of Science, Shiraz University, Shiraz, Iran.

doi
10.22034/jsmta.2021.2695
چکیده

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.

کلیدواژه‌ها
Autoregressive model, Bayes estimation, Exponential innovations, Maximum likelihood estimation