Estimation in autoregressive model with measurement error
Jérôme Dedecker, Adeline Samson, Marie-Luce Taupin (2014)
ESAIM: Probability and Statistics
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Consider an autoregressive model with measurement error: we observe = + , where the unobserved is a stationary solution of the autoregressive equation = ( ) + . The regression function is known up to a finite dimensional parameter to be estimated. The distributions of and are unknown and...