Asymptotic properties of estimators for autoregressive models with errors in variables

DOI10.1214/aos/1033066218zbMath0853.62070OpenAlexW1971652591MaRDI QIDQ1922415

Kamal C. Chanda

Publication date: 9 January 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1033066218

zbMATH Keywords

rates of convergenceautoregressive modelerrors in variablesstrictly stationary sequenceconsistency propertiesidentifiable parametermodified Yule-Walker equations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

Unnamed Item ⋮ Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors ⋮ Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data ⋮ Testing for measurement error in regression with autoregressive innovations ⋮ Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables ⋮ Lack-of-fit of a parametric measurement error AR(1) model ⋮ Efficient use of higher‐lag autocorrelations for estimating autoregressive processes ⋮ MEASUREMENT ERRORS IN DYNAMIC MODELS

Cites Work

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• Estimating structural and functional relationships
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS
• LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
• Regression for time series with errors of measurement
• Linear Statistical Inference and its Applications

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