Bayesian estimation of AR(1) models with uniform innovations

zbMATH Open1102.62094MaRDI QIDQ3408700FDOQ3408700

Authors: H. Fellag, K. Nouali 

Publication date: 15 November 2006

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zbMATH Keywords

uniform distributionautoregressive modelprior distributionBayesian estimator

Mathematics Subject Classification ID

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

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• Bayesian estimation for first-order autoregressive model with explanatory variables
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• Projection-based Bayesian recursive estimation of ARX model with uniform innovations
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• Robustness of estimation of first-order autoregressive model under contaminated uniform white noise
• Inference in binomial AR(1) models
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• A simulation study of Bayes estimates of invertible MA(1) model
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• Consistent estimating in UAR models

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