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

الملخص EN

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.