Estimation in autoregressive model with measurement error

DOI10.1051/PS/2013037MaRDI QIDQ5174355zbMATH OpenOpenAlexFDO

Authors Adeline Samson, Marie-Luce Taupin, Jérôme Dedecker

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.1310

zbMATH Keywords

Markov chainsemiparametric modeldeconvolutionmixingautoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) General nonlinear regression (62J02)

Abstract: Consider an autoregressive model with measurement error: we observe $Z_i=X_i+epsilo{n}_i$, where $X_i$ is a stationary solution of the equation $X_i=f_{het{a}^0}(X_{i-1})+x{i}_i$. The regression function $f_{het{a}^0}$ is known up to a finite dimensional parameter $het{a}^0$. The distributions of $X_0$ and $x{i}_1$ are unknown whereas the distribution of $epsilo{n}_1$ is completely known. We want to estimate the parameter $het{a}^0$ by using the observations $Z_0,\mathrm{..},Z_n$. We propose an estimation procedure based on a modified least square criterion involving a weight function $w$, to be suitably chosen. We give upper bounds for the risk of the estimator, which depend on the smoothness of the errors density $f_{e}psilon$ and on the smoothness properties of $w{f}_{h}eta$.

Recommendations

• Autoregressive process with measurement errors
• Consistent estimates of autoregressive error-in-variables
• Measurement Error in Linear Autoregressive Models
• Asymptotic properties of estimators for autoregressive models with errors in variables
• Estimation in autoregressive models with surrogate data and validation data

Cited in

(15)

• Parametric inference of autoregressive heteroscedastic models with errors in variables
• Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data
• Assessing Prediction Error in Autoregressive Models
• Lack-of-fit of a parametric measurement error AR(1) model
• 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?)
• Consistent estimates of autoregressive error-in-variables
• Testing for measurement error in regression with autoregressive innovations
• Autoregressive process with measurement errors
• Estimation in autoregressive models with surrogate data and validation data
• Contrast estimation for noisy observations of diffusion processes via closed-form density expansions
• Estimation of functional-coefficient autoregressive models with measurement error
• Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
• Measurement Error in Linear Autoregressive Models
• Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

This page was built for publication: Estimation in autoregressive model with measurement error

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5174355)