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

DOI10.1080/0233188031000078042zbMATH Open1037.62016OpenAlexW2016314202MaRDI QIDQ4454281FDOQ4454281

Authors: M. Ibazizen, H. Fellag 

Publication date: 8 March 2004

Published in: Statistics (Search for Journal in Brave)

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

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zbMATH Keywords

hypergeometric functionexponential distributionautoregressive process

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (17)

• On the estimation of missing values in AR(1) model with exponential innovations
• Large deviations for Bayesian estimators in first-order autoregressive processes
• Una familia de distribuciones conjugadas para un proceso ARE (1)
• Bayesian autoregressive adaptive refined descriptive sampling algorithm in the Monte Carlo simulation
• Bayesian estimation for first-order autoregressive model with explanatory variables
• Title not available (Why is that?)
• Estimation of the first-order autoregressive model with contaminated exponential white noise
• Cumulative sum control chart applied to monitor shifts in the mean of a long-memory \(\text{ARFIMAX}(p,d^*,q,r)\) process with exponential white noise
• The accurate results of average run length on modified EWMA control chart for the first-order moving average process with exogenous variables models
• Continuous-time AR process parameter estimation in presence of additive white noise
• Title not available (Why is that?)
• Title not available (Why is that?)
• Explicit analytical solutions for ARL of CUSUM chart for a long-memory SARFIMA model
• A conjugate family for ar(1) processes with exponential errors
• On ar(1) processes with exponential white noise
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