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
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 |
[1] -2.0249046 -0.9750569 1.1852448 1.9619655 0.8326637
[1] TRUE
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.