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