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

被引：0

作者：

Benmoumen, Mohammed ^{[1
]}

Allal, Jelloul ^{[1
]}

Salhi, Imane ^{[1
]}

机构：

[1] Mohammed Premier Univ, Fac Sci, LaMSD, Oujda, Morocco

来源：

JOURNAL OF APPLIED MATHEMATICS | 2019年 / 2019卷

关键词：

D O I：

10.1155/2019/8479086

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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.

引用

页数：5

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