Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter
Joint Authors
Benmoumen, Mohammed
Allal, Jelloul
Salhi, Imane
Source
Journal of Applied Mathematics
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-05-13
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract 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.
American Psychological Association (APA)
Benmoumen, Mohammed& Allal, Jelloul& Salhi, Imane. 2019. Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter. Journal of Applied Mathematics،Vol. 2019, no. 2019, pp.1-5.
https://search.emarefa.net/detail/BIM-1168943
Modern Language Association (MLA)
Benmoumen, Mohammed…[et al.]. Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter. Journal of Applied Mathematics No. 2019 (2019), pp.1-5.
https://search.emarefa.net/detail/BIM-1168943
American Medical Association (AMA)
Benmoumen, Mohammed& Allal, Jelloul& Salhi, Imane. Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter. Journal of Applied Mathematics. 2019. Vol. 2019, no. 2019, pp.1-5.
https://search.emarefa.net/detail/BIM-1168943
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1168943
