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

Published
2016-07-18
Section
Articles