Research Article
Parameter Estimation for p-Order Random Coefficient Autoregressive (RCA) Models Based on Kalman Filter
Table 4
Mean and MSE of estimated parameters for Example 2;
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| Parameters | MLKF Mean | MLKF MSE | QMLE Mean | QMLE MSE |
| | 0.79036 | 0.00523 | 0.76137 | 0.02278 | | -0.17777 | 0.00358 | -0.17776 | 0.00935 | | 0.10248 | 0.00647 | 0.08250 | 0.00838 | | 0.06556 | 0.00512 | 0.05217 | 0.00912 | | 0.21036 | 0.00788 | 0.23481 | 0.01014 | ā | 0.97054 | 0.01463 | 0.94957 | 0.03327 |
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