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

Saadatmand, Abdollah; Nematollahi, Ali Reza; Sadooghi-Alvandi, Soltan Mohammad

doi:10.22034/jsmta.2021.2695

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

Document Type : Original Scientific Paper

Authors

¹ Department of Statistics, Faculty of Science, Payame Noor University, P. O. Box, 19395 - 4697, Tehran, Iran.

² Department of Statistics, College of Science, Shiraz University, Shiraz, Iran.

10.22034/jsmta.2021.2695

Abstract

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.

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