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On the estimation of missing values in AR(1) model with exponential innovations |
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| Authors: | A. Saadatmand S. M. Sadooghi-Alvandi |
| Affiliation: | Department of Statistics, Shiraz University, Shiraz, Iran |
| Abstract: | 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). |
| Keywords: | Autoregressive model Exponential innovations Missing value Mean square error Pitman's measure of closeness |