EV自回归模型的一个相合估计

Consistent Estimates of Autoregressive Error-in-variables

考虑带有测量误差的自回归模型,在不对替代变量和真实变量之间的关系做任何模型假设的情况下,借助核实数据,给出未知参数的一个基于核实与替代两方面信息的最小二乘估计量,并证得该估计量是相合估计.

In this paper, we address the estimation of the parameters in autoregressive models in the presence of function measurement errors. We first develop a parameter esti- mation method with the help of validation data, this estimation method does not depend on functional form and the distribution of the measurement error. The proposed estimator is proved to be consistent.