Bayes Estimation of Autocorrelation Coefficient
Taylor & Francis
Journal of Statistics and Management Systems
Original Item ID
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.
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.