Measurement Error in Linear Autoregressive Models
From MaRDI portal
Publication:5754860
DOI10.1198/016214504000001871zbMath1117.62430OpenAlexW2005553699MaRDI QIDQ5754860
John Staudenmayer, John P. Buonaccorsi
Publication date: 20 August 2007
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214504000001871
Related Items
High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition ⋮ Inference for the Lee-Carter model with an AR(2) process ⋮ Oracle GMM estimation for misspecified models via thresholding ⋮ Modeling observation error and its effects in a random walk/extinction model ⋮ A marginal moment matching approach for fitting endemic‐epidemic models to underreported disease surveillance counts ⋮ Maximum likelihood estimation of spatial lag models in the presence of the error-prone variables ⋮ Sensitivity analysis of error-contaminated time series data under autoregressive models with the application of COVID-19 data ⋮ Feature matching in time series modeling ⋮ BIAS-CORRECTED INFERENCE FOR A MODIFIED LEE–CARTER MORTALITY MODEL ⋮ Lack-of-fit of a parametric measurement error AR(1) model ⋮ Error-Correction Factor Models for High-dimensional Cointegrated Time Series ⋮ Inferences in longitudinal count data models with measurement errors in time dependent covariates ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions ⋮ Prediction and forecasting in linear models with measurement error ⋮ Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error ⋮ Exploiting the errors: a simple approach for improved volatility forecasting ⋮ Estimation of functional-coefficient autoregressive models with measurement error ⋮ Parametric estimation of hidden Markov models by least squares type estimation and deconvolution