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Tables for AR(1) processes with exponential white noise. (English) Zbl 0664.62090

A new method was recently proposed by C. B. Bell and E. P. Smith [Commun. Stat., Theory Methods 15, 2267-2293 (1986; Zbl 0604.62087)] for estimating the parameter of the AR(1) process with non- negative values. The exact distribution of this estimator was derived for the case that the white noise has an exponential distribution. Here we present tables containing the expectation and standard deviation of the new estimator.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62Q05 Statistical tables

Citations:

Zbl 0604.62087
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References:

[1] J. Anděl: On AR(1) processes with exponential white noise. Comm. Statist. A – Theory Methods 17 (1988), 5, 1481-1495. · Zbl 0639.62082 · doi:10.1080/03610928808829693
[2] C. B. Bell, E. P. Smith: Inference for non-negative autoregressive schemes. Comm. Statist. A – Theory Methods 15 (1986), 8, 2267-2293. · Zbl 0604.62087 · doi:10.1080/03610928608829248
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