On the estimation of missing values in AR(1) model with exponential innovations

DOI10.1080/03610926.2015.1060347zbMATH Open1462.62548OpenAlexW2336878668MaRDI QIDQ4976217FDOQ4976217

Authors: A. Saadatmand, A. R. Nematollahi, Soltan Mohammad Sadooghi-Alvandi 

Publication date: 27 July 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1060347

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zbMATH Keywords

mean square errorautoregressive modelmissing valuePitman's measure of closenessexponential innovations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10)

Cites Work

• Time series: theory and methods.
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Foundations of time series analysis and prediction theory
• Time series analysis and its applications. With R examples
• Likelihood analysis of a first‐order autoregressive model with exponential innovations
• ESTIMATION AND INTERPOLATION OF MISSING VALUES OF A STATIONARY TIME SERIES
• Infrence for non-negative autoregressive schemes
• On ar(1) processes with exponential white noise
• Bayesian estimation of an AR(1) process with exponential white noise
• Comparison of Two Estimation Methods of Missing Values Using Pitman-Closeness Criterion
• PITMAN-CLOSENESS AS A MEASURE TO EVALUATE THE QUALITY OF FORECASTS

Cited In (5)

• Estimation of AR(1) models with missing values
• Time series AR modeling with missing observations based on the polynomial transformation
• On the first passage time of the parabolic boundary by the Markov random walk
• Performance of extrapolation based on Pitman's measure of closeness in spatial regression models with extended skew \(t\) innovations
• Comparison of spatial interpolation methods in the first order stationary multiplicative spatial autoregressive models

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