Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter
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 inte...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2019-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2019/8479086 |
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