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Robust bayesian analysis of an autoregressive model with exponential innovations

Lydia Larbi, Hocine Fellag

Abstract


In this work, robust Bayesian analysis of the Bayesian estimation of an autoregressive model with exponential innovations is performed. Using a Bayesian robustness methodology, we show that, using a suitable generalized quadratic loss, we obtain optimal Bayesian estimators of the parameters corresponding to the smallest oscillation of the posterior risks.

Keywords: Autoregressive process; Bayes; Estimation; Exponential; Loss function; Robustness




http://dx.doi.org/10.16929/as/2016.955.86
AJOL African Journals Online