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Original Articles

On the estimates of the parameters of the first order autoregressive process

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Pages 489-505 | Received 01 Jun 1982, Published online: 27 Jun 2007
 

Abstract

Two methods of estimation for the parameters of an AR(1) process which are based on a non-linear least-squares approach are presented. On the basis of some simulation results they are compared with two maximum likelihood estimates and their relative merits are discussed.

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