Yazd University Journal of Statistical Modelling: Theory and Applications 2676-7392 2 2 2021 07 01 On the estimation problem in AR(1) model with exponential innovations 51 62 2695 10.22034/jsmta.2021.2695 EN Abdollah Saadatmand Department of Statistics‎, ‎College of Science‎, ‎Payame Noor University‎, ‎P.O‎. ‎Box‎, ‎19395-4697‎, ‎Tehran‎, ‎Iran 0000-0001-7998-1988 Ali Reza Nematollahi Department of Statistics, College of Science, Shiraz University, Shiraz, Iran 0000-0002-2623-7159 Soltan Mohammad Sadooghi-Alvandi Department of Statistics, College of Science, Shiraz University, Shiraz, Iran Journal Article 2022 03 19 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. https://jsm.yazd.ac.ir/article_2695_7200cf1ab3c81208274a2dfe26cc4259.pdf