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

Mohammed Benmoumen, Jelloul Allal and Imane Salhi

Journal of Applied Mathematics, 2019, vol. 2019, 1-5

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.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:8479086

DOI: 10.1155/2019/8479086

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