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

DOI10.1080/03610926.2015.1060347zbMath1462.62548OpenAlexW2336878668MaRDI QIDQ4976217

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

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

zbMATH Keywords

mean square errorautoregressive modelPitman's measure of closenessmissing valueexponential 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)

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