Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter
Keyword(s):
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.
2010 ◽
Vol 43
(16)
◽
pp. 1-6
◽
Keyword(s):
2007 ◽
Vol 55
(1)
◽
pp. 46-55
◽
1998 ◽
Vol 68
(2)
◽
pp. 323-337
◽
2013 ◽
Vol 172
(1)
◽
pp. 106-126
◽
Keyword(s):
2020 ◽
Vol 90
(15)
◽
pp. 2705-2740
1976 ◽
Vol 28
(3-4)
◽
pp. 275-300
◽
1995 ◽
Vol 121
(11)
◽
pp. 776-784
◽
Keyword(s):