The function maps a vector of length p to the vector of autoregressive coefficients of a stationary AR(p) process. It can be used to parametrize a stationary AR(p) process

1 |

`raw` |
a vector of length p |

The function first maps each element of `raw`

to (0,1) using
tanh. The numbers obtained are treated as the first partial
autocorrelations of a stationary AR(p) process and the vector of the
corresponding autoregressive coefficients is computed and returned.

The vector of autoregressive coefficients of a stationary AR(p) process
corresponding to the parameters in `raw`

.

Giovanni Petris, GPetris@uark.edu

Jones, 1987. Randomly choosing parameters from the
stationarity and invertibility region of autoregressive-moving average
models. *Applied Statistics*, 36.

1 2 |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.