On the estimation problem in AR(۱) model with exponential innovations

In this article, the autoregressive model of order one with exponential innovations is considered. The maximum likelihood and Bayes estimators of the autoregression parameter, under squared error loss function with non-informative prior are examined. A simulation study is conducted to compare the behavior of the estimators via their relative bias and risks. Moreover, a real data example is presented.

Keywords:

Autoregressive model , Bayes estimation , Exponential innovations , Maximum likelihood estimation