scientific article; zbMATH DE number 6180002

zbMath1301.62031MaRDI QIDQ5299919

Jelloul Allal, Mohammed Benmoumen

Publication date: 24 June 2013

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

stochastic approximationKalman filtermaximum likelihoodPowell's methodsimultaneous perturbationBrent's methodrandom coefficient autoregressive (RCA) models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Filtering in stochastic control theory (93E11)

Related Items (4)

Random autoregressive models: A structured overview ⋮ The strong consistency of quasi-maximum likelihood estimators for \(p\)-order random coefficient autoregressive (RCA) models ⋮ A first order continuous time <scp>VAR</scp> with random coefficients ⋮ Parameter estimation for \(p\)-order random coefficient autoregressive (RCA) models based on Kalman filter

Uses Software

• AS 154

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