Parametric inference of autoregressive heteroscedastic models with errors in variables

Salima El Kolei and Florian Pelgrin

Statistics & Probability Letters, 2017, vol. 130, issue C, 63-70

Abstract: We propose a consistent and asymptotically normal parametric estimator for autoregressive heteroscedastic models with errors in variables based on contrast minimization and give an example for a discrete time observed CIR process with additive noises.

Keywords: Hidden Markov model; Parametric estimation; Deconvolution; Heteroscedasticity (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.07.011

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