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.
@article{bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1061,
author = {Hocine Fellag and Karima Nouali},
title = {Bayesian estimation of AR(1) models with uniform innovations},
journal = {Discussiones Mathematicae Probability and Statistics},
volume = {25},
year = {2005},
pages = {71-75},
zbl = {1102.62094},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1061}
}
Hocine Fellag; Karima Nouali. Bayesian estimation of AR(1) models with uniform innovations. Discussiones Mathematicae Probability and Statistics, Tome 25 (2005) pp. 71-75. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_7151_dmps_1061/
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