Geodesic
On unequally spaced AR(1) process
Kybernetika, Tome 39 (2003) no. 1, p. [13]

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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.
Classification : 60G10, 62M10
Keywords: AR(1) process; unequally spaced; autocorrelation coefficient; least squares estimate; maximum likelihood estimate 
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     author = {\v{S}indel\'a\v{r}, Jan and Kn{\'\i}\v{z}ek, Ji\v{r}{\'\i}},
     title = {On unequally spaced {AR(1)} process},
     journal = {Kybernetika},
     pages = {[13]},
     publisher = {mathdoc},
     volume = {39},
     number = {1},
     year = {2003},
     mrnumber = {1980121},
     zbl = {1249.60071},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/KYB_2003__39_1_a1/}
}
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Šindelář, Jan; Knížek, Jiří. On unequally spaced AR(1) process. Kybernetika, Tome 39 (2003) no. 1, p. [13]. http://geodesic.mathdoc.fr/item/KYB_2003__39_1_a1/