Discussiones Mathematicae Probability and Statistics 25(1) (2005) 71-75

BAYESIAN ESTIMATION OF AR(1) MODELS WITH UNIFORM INNOVATIONS

Hocine Fellag and Karima Nouali

Department of Mathematics,
Faculty of Sciences
University of Tizi Ouzou
Tizi-Ouzou 15000, Algeria

Abstract

The first-order autoregressive model with uniform innovations is considered. In this paper, we propose a family of BAYES estimators based on a class of prior distributions. We obtain estimators of the parameter which perform better than the maximum likelihood estimator.

Keywords: autoregressive model, Bayesian estimator, prior distribution, uniform distribution.

2000 Mathematics Subject Classification: 62F11, 62M10.

References

[1] C.B. Bell and E.P. Smith, Inference for non-negative autoregressive shemes, Communication in statistics, Theory and Methods 15 (8) (1986), 2267-2293.
[2] M.A. Amaral Turkmann, Bayesian analysis of an autoregressive process with exponential white noise, Statistics 4 (1990), 601-608.
[3] M. Ibazizen and H. Fellag, Bayesian estimation of an AR(1) process with exponential white noise, Statistics 37 (5) (2003), 365-372.

Received 13 March 2004