Economics at your fingertips  

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
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf) (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1155/2019/8479086

Access Statistics for this article

More articles in Journal of Applied Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().

Page updated 2019-12-30
Handle: RePEc:hin:jnljam:8479086