A new iterative procedure for estimation of RCA parameters based on estimating functions

MaRDI QIDQ3224722zbMATH OpenFDO

Authors Norli Anida Abdullah, Nor Azlinna Azizan, Ibrahim Mohamed, Shelton Peiris

Publication date 2 April 2012

Full work available at URL http://www.m-hikari.com/ams/ams-2011/ams-1-4-2011/index.html

zbMATH Keywords

biasleast squaresiterative methodrandom coefficients autoregressive modelstandard error

Mathematics Subject Classification ID

Point estimation (62F10) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(3)

• Parameter estimation for first-order random coefficient autoregressive (RCA) models based on Kalman filter
• A first order continuous time <scp>VAR</scp> with random coefficients
• Random autoregressive models: a structured overview

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