Asymptotic properties of estimators for autoregressive models with errors in variables

DOI10.1214/AOS/1033066218MaRDI QIDQ1922415zbMATH OpenOpenAlexFDO

Authors 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

errors in variablesautoregressive modelrates of convergencestrictly 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)

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Cites work

• scientific article; zbMATH DE number 3940527 (Why is no real title available?)
• scientific article; zbMATH DE number 1069586 (Why is no real title available?)
• Estimating linear statistical relationships
• Estimating structural and functional relationships
• Global identification of the dynamic shock-error model
• IDENTIFIABILITY IN DYNAMIC ERRORS-IN-VARIABLES MODELS
• Identification in dynamic shock-error models
• LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
• Linear Statistical Inference and its Applications
• On the errors-in-variables problem for time series
• Regression for time series with errors of measurement

Cited in

(24)

• Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data
• Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
• Lack-of-fit of a parametric measurement error AR(1) model
• Asymptotic Properties of OLS Estimates in Autoregressions with Bounded or Slowly Growing Deterministic Trends
• Regularized estimation of high-dimensional factor-augmented vector autoregressive (FAVAR) models
• Asymptotic bias of the least squares estimator for multivariate autoregressive models
• scientific article; zbMATH DE number 218722 (Why is no real title available?)
• Measurement errors in dynamic models
• ASYMPTOTIC MEAN SQUARE PREDICTION ERROR FOR A MULTIVARIATE AUTOREGRESSIVE MODEL WITH RANDOM COEFFICIENTS
• Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors
• scientific article; zbMATH DE number 4043108 (Why is no real title available?)
• Estimating parameters in autoregressive models with asymmetric innovations
• Asymptotic Moments of Autoregressive Estimators with a Near Unit Root and Minimax Risk
• Testing for measurement error in regression with autoregressive innovations
• Asymptotic properties of some estimators for partly linear stationary autoregressive models
• Autoregressive process with measurement errors
• Variance bounds for estimators in autoregressive models with constraints
• Towards a unified asymptotic theory for autoregression
• LARGE SAMPLE ANALYSIS OF AUTOREGRESSIVE MOVING-AVERAGE MODELS WITH ERRORS IN VARIABLES
• scientific article; zbMATH DE number 6386786 (Why is no real title available?)
• scientific article; zbMATH DE number 1536231 (Why is no real title available?)
• Asymptotic properties of the sign estimate of autoregression field coefficients
• Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables
• Estimation in autoregressive model with measurement error

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