Estimation in autoregressive model with measurement error

Jérôme Dedecker, Adeline Samson, Marie-Luce Taupin

Consider an autoregressive model with measurement error: we observe $Z_i=X_i+{\epsilon }_i$, where $X_i$ is a stationary solution of the equation $X_i=f_{{\theta }^0}(X_{i-1})+{\xi }_i$. The regression f…