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 integrated a subalgorithm which calculate the theoretical autocorrelation. Simulation results demonstrate that the algorithm is viable and promising.
"Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter." J. Appl. Math. 2019 1 - 5, 2019. https://doi.org/10.1155/2019/8479086