random_arcoefs: Create random AR coefficients

In uGMAR: Estimate Univariate Gaussian and Student's t Mixture Autoregressive Models

Create random AR coefficients

Description

random_arcoefs generates random AR coefficients.

Usage

random_arcoefs(p, forcestat = FALSE, sd = 0.6/p)

Arguments

p	a positive integer specifying the autoregressive order of the model.
forcestat	use the algorithm by Monahan (1984) to force stationarity on the AR parameters (slower)?
sd	if forcestat==FALSE, then AR parameters are drawn from zero mean normal distribution with sd given by this parameter.

Details

If forcestat==TRUE, then the AR coefficients are relatively large, otherwise they are usually relatively small.

Value

Returns px1 vector containing random AR coefficients.

References

• Monahan J.F. 1984. A Note on Enforcing Stationarity in Autoregressive-Moving Average Models. Biometrica 71, 403-404.

uGMAR documentation built on Aug. 19, 2023, 5:10 p.m.