Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors

@inproceedings{Pupashenko2015AsymptoticPO,
  title={Asymptotic properties of the corrected score estimator in the autoregressive model with measurement errors},
  author={Daria Pupashenko and S. V. Shklyar and Alexander Kukush},
  year={2015}
}
The autoregressive model with errors in variables with normally distributed control se- quence is considered. For the main sequence, two cases are dealt with: (a) main sequence has station- ary distribution, and (b) initial distribution is arbitrary, independent of the control sequence and has finite fourth moment. Here the elements of the main sequence are not observed directly, but surrogate data that include a normally distributed additive error are observed. Errors and main sequence are… CONTINUE READING