On the estimation of missing values in AR(1) model with exponential innovations

A. Saadatmand, A. R. Nematollahi and S. M. Sadooghi-Alvandi

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 7, 3393-3400

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).

Date: 2017
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DOI: 10.1080/03610926.2015.1060347

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