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

共 50 条

[31] Parameter Estimation in Systems Biology Models by Using Extended Kalman Filter
Capinski, Michal
Polanski, Andrzej
MAN-MACHINE INTERACTIONS 4, ICMMI 2015, 2016, 391 : 195 - 204
[32] A Kalman particle filter for online parameter estimation with applications to affine models
Jian He
Asma Khedher
Peter Spreij
Statistical Inference for Stochastic Processes, 2021, 24 : 353 - 403
[33] An estimation of second order autoregressive models using finite memory filter
Kim, Pyung Soo
Jang, Mun Suck
ICIC Express Letters, 2012, 6 (11): : 2769 - 2773
[34] A link between random coefficient autoregressive models and some agent based models
Konte, Mamadou Abdoulaye
JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, 2011, 6 (01) : 83 - 92
[35] A link between random coefficient autoregressive models and some agent based models
Mamadou Abdoulaye Konté
Journal of Economic Interaction and Coordination, 2011, 6 : 83 - 92
[36] Exponential convergence of the Kalman filter based parameter estimation algorithm
Cao, LY
Schwartz, HM
INTERNATIONAL JOURNAL OF ADAPTIVE CONTROL AND SIGNAL PROCESSING, 2003, 17 (10) : 763 - 783
[37] Optimal Random Parameter EM Based Kalman Filter (REKF) for Fast Fading MIMO Channel Estimation
Mishra, Amrita
Gayathri, R.
Jagannatham, Aditya K.
2013 AUSTRALASIAN TELECOMMUNICATION NETWORKS AND APPLICATIONS CONFERENCE (ATNAC), 2013, : 142 - 147
[38] A Novel Method of Adaptive Kalman Filter for Heading Estimation Based on an Autoregressive Model
Chai, Dashuai
Chen, Guoliang
Wang, Shengli
APPLIED SCIENCES-BASEL, 2019, 9 (18):
[39] Least squares estimation for critical random coefficient first-order autoregressive processes
Hwang, SY
Basawa, IV
Kim, TY
STATISTICS & PROBABILITY LETTERS, 2006, 76 (03) : 310 - 317
[40] Least Squares Estimation and Kalman Filter Based Dynamic State and Parameter Estimation
Fan, Lingling
2015 IEEE POWER & ENERGY SOCIETY GENERAL MEETING, 2015,

← 1 2 3 4 5 →