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EMPIRICAL BAYES ESTIMATION FOR FIRST‐ORDER AUTOREGRESSIVE PROCESSES
- Authors
- 김영원; Basawa I.V.
- Issue Date
- Mar-1992
- Publisher
- Australian Statistical Societ
- Keywords
- Autoregressive processes; empirical Bayes estimates; maximum likelihood estimation; panel data
- Citation
- The Australian Journal of Statistics, v.34, no.1, pp 105 - 114
- Pages
- 10
- Journal Title
- The Australian Journal of Statistics
- Volume
- 34
- Number
- 1
- Start Page
- 105
- End Page
- 114
- ISSN
- 0004-9581
- Abstract
- Large sample properties of an empirical Bayes estimate for a first order autoregressive process are obtained with respect to both the empirical Bayes and the frequentist frameworks.
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