EMPIRICAL BAYES ESTIMATION FOR FIRST‐ORDER AUTOREGRESSIVE PROCESSES
- 1 March 1992
- journal article
- Published by Wiley in Australian Journal of Statistics
- Vol. 34 (1) , 105-114
- https://doi.org/10.1111/j.1467-842x.1992.tb01048.x
Abstract
Summary: Large sample properties of an empirical Bayes estimate for a first order autoregressive process are obtained with respect to both the empirical Bayes and the frequentist frameworks.Keywords
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