Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter

In this paper we elaborate an algorithm to estimate p-order Random Coefficient Autoregressive Model (RCA(p)) parameters. This algorithm combines quasi-maximum likelihood method, the Kalman filter, and the simulated annealing method. In the aim to generalize the results found for RCA(1), we have inte...

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Bibliographic Details
Main Authors: Mohammed Benmoumen, Jelloul Allal, Imane Salhi
Format: Article
Language:English
Published: Wiley 2019-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2019/8479086
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