Bayesian estimation of an AR(1) process with exponential white noise

DOI10.1080/0233188031000078042zbMath1037.62016OpenAlexW2016314202MaRDI QIDQ4454281

Hocine Fellag, M. Ibazizen

Publication date: 8 March 2004

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0233188031000078042

zbMATH Keywords

exponential distributionhypergeometric functionautoregressive process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Bayesian inference (62F15)

Related Items (6)

Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model ⋮ Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Large deviations for Bayesian estimators in first-order autoregressive processes ⋮ On the estimation of missing values in AR(1) model with exponential innovations

Cites Work

• BAYESian Analysis of an Autoregressiye Process with Exponential White Noise
• On ar(1) processes with exponential white noise

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