Number of the records: 1
On unequally spaced AR(1) process
- 1.0411136 - UTIA-B 20030123 RIV CZ eng J - Journal Article
Šindelář, Jan - Knížek, Jiří
On unequally spaced AR(1) process.
Kybernetika. Roč. 39, č. 1 (2003), s. 13-27. ISSN 0023-5954
R&D Projects: GA MZd NO6458; GA AV ČR KSK1019101
Institutional research plan: CEZ:AV0Z1075907
Keywords : process * unequally spaced * autocorrelation coefficient
Subject RIV: BB - Applied Statistics, Operational Research
Impact factor: 0.319, year: 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.
Permanent Link: http://hdl.handle.net/11104/0131223
File Download Size Commentary Version Access 0411136.pdf 0 1.9 MB Publisher’s postprint open-access
Number of the records: 1