Estimation in autoregressive model with measurement error

DOI10.1051/ps/2013037zbMath1307.62171arXiv1105.1310OpenAlexW2963136322MaRDI QIDQ5174355

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

semiparametric modelMarkov chainmixingdeconvolutionautoregressive model

Mathematics Subject Classification ID

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

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Contrast estimation for noisy observations of diffusion processes via closed-form density expansions ⋮ Parametric inference of autoregressive heteroscedastic models with errors in variables ⋮ Parametric estimation of hidden stochastic model by contrast minimization and deconvolution ⋮ 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 ⋮ Lack-of-fit of a parametric measurement error AR(1) model ⋮ Estimation of functional-coefficient autoregressive models with measurement error ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution

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