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

Table 2

Mean and MSE of estimated parameters for Example 1; .

Parameters	MLKF Mean	MLKF MSE	QMLE Mean	QMLE MSE
	0.00021	0.00523	0.00038	0.02003
	0.34857	0.00556	0.31857	0.02114
	0.19859	0.00902	0.17016	0.02487
	0.00363	0.00412	0.00578	0.00723
	0.21072	0.01041	0.19189	0.02865
	1.02176	0.03397	1.09754	0.06682