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
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
Giovanni Petris, [email protected]
Jones, 1987. Randomly choosing parameters from the stationarity and invertibility region of autoregressive-moving average models. Applied Statistics, 36.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.