Parameter estimation for generalized random coefficient autoregressive processes

1998 ◽  
Vol 68 (2) ◽  
pp. 323-337 ◽  
Author(s):  
S.Y. Hwang ◽  
I.V. Basawa
Keyword(s):  
Parameter Estimation ◽  
Random Coefficient ◽  
Autoregressive Processes ◽  
Random Coefficient Autoregressive

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

2019 ◽  
Vol 2019 ◽  
pp. 1-5
Author(s):  
Mohammed Benmoumen ◽  
Jelloul Allal ◽  
Imane Salhi
Keyword(s):  
Parameter Estimation ◽  
Simulated Annealing ◽  
Kalman Filter ◽  
Maximum Likelihood Method ◽  
Random Coefficient ◽  
Likelihood Method ◽  
Simulation Results ◽  
Quasi Maximum Likelihood ◽  
Annealing Method ◽  
Random Coefficient Autoregressive

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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