Bayesian estimation of AR(1) models with uniform innovations
Hocine Fellag, Karima Nouali (2005)
Discussiones Mathematicae Probability and Statistics
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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.