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COMPARISON BETWEEN METHODS OF PARAMETERS ESTIMATION FOR FIRST-ORDER AUTOREGRESSIVE MODEL BY SIMULATION | ||
| AL-TAQANI | ||
| Article 1, Volume 20, Issue 2, 2007, Pages 0-0 | ||
| Abstract | ||
| This study aims to studying the problem of estimation of Gaussian First-order autoregressive model AR(1) cofficient , There are two schools , The first is ( the classical school ) , there are serveal methods for estimating ( ) : 1- The moment method (MM) . 2- The ordinary least square method (OLS) . 3- The approximate maximum likelihood method (AML) . 4- The exact maximum likelihood method (EML) . The second school (Bayes) includes two methods which are the standard Bayes method (SBM) and Empirical Bayes method . The study also aims at comparison among the methods of various estimations by using simulation results . The best result is the method of Bays estimoter . | ||
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