Parametric inference of autoregressive heteroscedastic models with errors in variables
| Autor: | Florian Pelgrin, Salima El Kolei |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Statistics::Theory Heteroscedasticity 05 social sciences Estimator Contrast (statistics) 01 natural sciences 010104 statistics & probability Autoregressive model Discrete time and continuous time 0502 economics and business Econometrics Statistics::Methodology Applied mathematics Errors-in-variables models 0101 mathematics Statistics Probability and Uncertainty STAR model 050205 econometrics Mathematics Parametric statistics |
| Zdroj: | Statistics & Probability Letters. 130:63-70 |
| ISSN: | 0167-7152 |
| DOI: | 10.1016/j.spl.2017.07.011 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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