Bayesian estimation of AR(1) models with uniform innovations

Hocine Fellag; Karima Nouali

Discussiones Mathematicae Probability and Statistics (2005)

  • Volume: 25, Issue: 1, page 71-75
  • ISSN: 1509-9423

Abstract

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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.

How to cite

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Hocine Fellag, and Karima Nouali. "Bayesian estimation of AR(1) models with uniform innovations." Discussiones Mathematicae Probability and Statistics 25.1 (2005): 71-75. <http://eudml.org/doc/287744>.

@article{HocineFellag2005,
abstract = {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.},
author = {Hocine Fellag, Karima Nouali},
journal = {Discussiones Mathematicae Probability and Statistics},
keywords = {autoregressive model; Bayesian estimator; prior distribution; uniform distribution},
language = {eng},
number = {1},
pages = {71-75},
title = {Bayesian estimation of AR(1) models with uniform innovations},
url = {http://eudml.org/doc/287744},
volume = {25},
year = {2005},
}

TY - JOUR
AU - Hocine Fellag
AU - Karima Nouali
TI - Bayesian estimation of AR(1) models with uniform innovations
JO - Discussiones Mathematicae Probability and Statistics
PY - 2005
VL - 25
IS - 1
SP - 71
EP - 75
AB - 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.
LA - eng
KW - autoregressive model; Bayesian estimator; prior distribution; uniform distribution
UR - http://eudml.org/doc/287744
ER -

References

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  1. [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. Zbl0604.62087
  2. [2] M.A. Amaral Turkmann, Bayesian analysis of an autoregressive process with exponential white noise, Statistics 4 (1990), 601-608. Zbl0723.62051
  3. [3] M. Ibazizen and H. Fellag, Bayesian estimation of an AR(1) process with exponential white noise, Statistics 37 (5) (2003), 365-372. Zbl1037.62016

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