Description Usage Arguments Details Value Author(s) References Examples

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

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`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, [email protected]

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

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dlm documentation built on May 30, 2017, 3:37 a.m.

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