Asymptotic properties of estimators for autoregressive models with errors in variables

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dc.creatorChanda, Kamal C. (TTU)
dc.date.accessioned2023-09-14T16:54:24Z
dc.date.available2023-09-14T16:54:24Z
dc.date.issued1996
dc.descriptionNone
dc.description.abstractLet {Xt, t ∈ ℤ} be an observable strictly stationary sequence of random variables and let Xt = Ut + εt, where {Ut} is an AR (p) and {εt} is a strictly stationary sequence representing errors of measurement in {Xt}, with Ε{ε1} = 0. Under some broad assumptions on {εt} we establish the consistency properties as well as the rates of convergence for the standard estimators for the autoregressive parameters computed from a set of modified Yule-Walker equations.
dc.identifier.citationChanda, K.C.. 1996. Asymptotic properties of estimators for autoregressive models with errors in variables. Annals of Statistics, 24(1). https://doi.org/10.1214/aos/1033066218
dc.identifier.urihttps://doi.org/10.1214/aos/1033066218
dc.identifier.urihttps://hdl.handle.net/2346/96108
dc.language.isoeng
dc.subjectError in variable autoregressive model
dc.subjectIdentifiable parameter
dc.titleAsymptotic properties of estimators for autoregressive models with errors in variables
dc.typeArticle

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