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2019 Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter
Mohammed Benmoumen, Jelloul Allal, Imane Salhi
J. Appl. Math. 2019: 1-5 (2019). DOI: 10.1155/2019/8479086

Abstract

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.

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Mohammed Benmoumen. Jelloul Allal. Imane Salhi. "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

Information

Received: 13 February 2019; Accepted: 18 April 2019; Published: 2019
First available in Project Euclid: 24 July 2019

zbMATH: 07132128
MathSciNet: MR3954244
Digital Object Identifier: 10.1155/2019/8479086

Rights: Copyright © 2019 Hindawi

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