On ar(1) processes with exponential white noise |
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| Authors: | J Andel |
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| Institution: | Department of Statistics , Charles University , Czechoslovakia, 186 00, Prague8 |
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| 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. |
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| Keywords: | time series moments of stationary distribution non-negative schemes estimating parameters |
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