误差项为指数白噪声的平稳AR(1)过程的贝叶斯分析

BAYESIAN ANALYSIS OF A STABLE AR(1) PROCESS WITH EXPONENTIAL WHITE NOISE

本文研究了一类误差项为指数白噪声的平稳自回归模型的参数估计问题.利用贝叶斯方法,获得了参数的后验分布及在平方损失下的贝叶斯估计结果,推广了Turkman的结果.

The article studies the problem of the parameter estimate of a stable autoregressive model, whose error term is exponential white noise. By using Bayesian method, we obtain the parameters’ posterior distribution and the Bayesian estimators under the quadratic loss function. These results extend those of Turkman.