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

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).

KEYWORDS:

• Autoregressive model
• Exponential innovations
• Missing value
• Mean square error
• Pitman's measure of closeness

Mathematics Subject Classification:

• 62M10
• 60G10
• 62F35

Acknowledgments

The authors would like to thank a referee for his valuable comments and suggestions. This work was supported by the Research Council of Shiraz University.