Consider the stationary autoregressive process with order one and non-zero mean. The weight parameter is taken to be priori distributed as uniform, standard normal and normal with zero mean. The Bayes' estimates are obtained and compared with conditional estimator for different values for the mean of the process. The error variance estimates by different methods are investigated. Some properties of the estimates for both the weight parameter and the error variance are discussed. The work is mainly performed through simulation and numerical integration techniques.
Abd-Alla, A., & Abouammoh, A. (1983). A Comparative Study on the Estimation of the Parameters of the Markovian Processes- II. The Egyptian Statistical Journal, 27(1), 29-39. doi: 10.21608/esju.1983.316610
MLA
A.A. Abd-Alla; A.M. Abouammoh. "A Comparative Study on the Estimation of the Parameters of the Markovian Processes- II", The Egyptian Statistical Journal, 27, 1, 1983, 29-39. doi: 10.21608/esju.1983.316610
HARVARD
Abd-Alla, A., Abouammoh, A. (1983). 'A Comparative Study on the Estimation of the Parameters of the Markovian Processes- II', The Egyptian Statistical Journal, 27(1), pp. 29-39. doi: 10.21608/esju.1983.316610
VANCOUVER
Abd-Alla, A., Abouammoh, A. A Comparative Study on the Estimation of the Parameters of the Markovian Processes- II. The Egyptian Statistical Journal, 1983; 27(1): 29-39. doi: 10.21608/esju.1983.316610
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