Autoregressive process with measurement errors

DOI10.1080/03610920903486806MaRDI QIDQ3007849zbMATH OpenOpenAlexFDO

Authors Shuyuan He, J. Liu

Publication date 17 June 2011

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610920903486806

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Identification of dynamic errors-in-variables models: Approaches based on two-dimensional ARMA modeling of the data
• The Frisch scheme in dynamic system identification
• Time series: theory and methods.

Cited in

(10)

• Parameter estimation in a stationary autoregressive process with correlated multiple observations
• Asymptotic properties of estimators for autoregressive models with errors in variables
• Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors
• Estimation in autoregressive models with surrogate data and validation data
• Consistent estimates of autoregressive error-in-variables
• The new synthetic and runs-rules schemes to monitor the process mean of autocorrelated observations with measurement errors
• Estimation in autoregressive model with measurement error
• Parameter estimation in first-order autoregressive model for statistical process monitoring in the presence of data autocorrelation
• Measurement Error in Linear Autoregressive Models
• Estimation of C _pm for autocorrelated data in the presence of random measurement errors

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