Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors

DOI10.1090/S0094-9000-2015-00943-1zbMath1327.62125OpenAlexW2160954751MaRDI QIDQ2944761

Daria Pupashenko, Alexander G. Kukush, Sergiy Shklyar

Publication date: 8 September 2015

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2015-00943-1

zbMATH Keywords

stationary processautoregressive modelstrong mixing sequencesmeasurement errorsleast squares estimationefficiency comparisoncorrected score estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Point estimation (62F10)

Related Items (2)

Lack-of-fit of a parametric measurement error AR(1) model ⋮ Multivariate statistical experiments with persistent non-linear regression and equilibrium

Cites Work

• Asymptotic properties of estimators for autoregressive models with errors in variables
• Estimation in autoregressive model with measurement error
• Inference and Prediction in Large Dimensions
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