Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter

DOI10.1155/2019/8479086zbMath1442.62196OpenAlexW2945115549MaRDI QIDQ2337033

Mohammed Benmoumen, Imane Salhi, Jelloul Allal

Publication date: 19 November 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/8479086

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models ⋮ Unnamed Item

Uses Software

• simannf90

Cites Work

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• Random coefficient autoregressive models: an introduction
• RCA models: joint prediction of mean and volatility
• Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
• ESTIMATION FOR NON-LINEAR TIME SERIES MODELS USING ESTIMATING EQUATIONS

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