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Saadatmand, A.; Nematollahi, A. R.; Sadooghi-Alvandi, S. M.

On the estimation of missing values in AR(1) model with exponential innovations. (English) Zbl 1462.62548

Commun. Stat., Theory Methods 46, No. 7, 3393-3400 (2017).
Summary: We consider estimation of a missing value for a stationary autoregressive process of order one with exponential innovations and compare two methods of estimation of the missing value, with respect to Pitman’s measure of closeness (PMC).

Cited in 2 Documents

MSC:

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

Keywords:

autoregressive model; exponential innovations; missing value; mean square error; Pitman’s measure of closeness
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References:

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