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, issue 1

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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https://doi.org/10.1155/2019/8479086

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2019:y:2019:i:1:n:8479086

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