On ar(1) processes with exponential white noise
- 1 January 1988
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 17 (5) , 1481-1495
- https://doi.org/10.1080/03610928808829693
Abstract
We consider the autoregressive model Xt= bXt-1= Ytwhere 0 ≤ b < 1 and Ytare independent random variables with an exponential distribution. The moments of the stationary distribution of Xtare calculated and the distribution of an approximation to the maximum likelihood estimator for b is derived. The result is used for a construction of a confidence interval for b.Keywords
This publication has 2 references indexed in Scilit:
- Infrence for non-negative autoregressive schemesCommunications in Statistics - Theory and Methods, 1986
- First-order autoregressive gamma sequences and point processesAdvances in Applied Probability, 1980