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EMPIRICAL BAYES ESTIMATION FOR FIRST‐ORDER AUTOREGRESSIVE PROCESSES
Author(s) -
Kim YoungWon,
Basawa I.V.
Publication year - 1992
Publication title -
australian journal of statistics
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.434
H-Index - 41
eISSN - 1467-842X
pISSN - 0004-9581
DOI - 10.1111/j.1467-842x.1992.tb01048.x
Subject(s) - bayes' theorem , frequentist inference , autoregressive model , econometrics , bayes factor , bayes estimator , setar , bayesian probability , estimation , statistics , computer science , star model , mathematics , bayesian inference , economics , autoregressive integrated moving average , time series , management
Summary Large sample properties of an empirical Bayes estimate for a first order autoregressive process are obtained with respect to both the empirical Bayes and the frequentist frameworks.