Bayes Estimation of Autocorrelation Coefficient

Authors

Madhusudan Bhandary, Columbus State University
Hongying Dai, Children's Mercy Kansas City
Naveen K. Bansal, Marquette UniversityFollow
Hyejin Shin, Auburn University

Document Type

Article

Publication Date

2022

Publisher

Taylor & Francis

Source Publication

Journal of Statistics and Management Systems

Source ISSN

0972-0510

Original Item ID

DOI: 10.1080/09720510.2021.1936905

Abstract

In this paper, we consider Bayesian inference for the autocorrelation coefficient ρ. Posterior distribution of ρ is obtained and then the performance of the Bayes estimator (posterior mean of ρ) is compared with that of classical estimator of ρ through simulation. It is found from simulation study that the Bayes estimator has lower mean square error than the classical estimator. An example with real life data is also presented.

Comments

Journal of Statistics and Management Systems, Vol. 25, No. 4 (2022): 771-779. DOI.

Recommended Citation

Bhandary, Madhusudan; Dai, Hongying; Bansal, Naveen K.; and Shin, Hyejin, "Bayes Estimation of Autocorrelation Coefficient" (2022). Mathematical and Statistical Science Faculty Research and Publications. 118.
https://epublications.marquette.edu/math_fac/118