On unequally spaced AR(1) process

0411136 - UTIA-B 20030123 RIV CZ eng J - Článek v odborném periodiku
Šindelář, Jan - Knížek, Jiří
On unequally spaced AR(1) process.
Kybernetika. Roč. 39, č. 1 (2003), s. 13-27. ISSN 0023-5954
Grant CEP: GA MZd NO6458; GA AV ČR KSK1019101
Výzkumný záměr: CEZ:AV0Z1075907
Klíčová slova: process * unequally spaced * autocorrelation coefficient
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
Impakt faktor: 0.319, rok: 2003

Discrete autoregressive process of the first order is considered. The process is observed at unequally spaced time instants. Both least squares estimate and maximum likelihood estimate of the autocorrelation coefficient are analyzed. We show some dangers related with the estimates when the true value of the autocorrelation coefficient is small. Monte-Carlo method is used to illustrate the problems.
Trvalý link: http://hdl.handle.net/11104/0131223