Function to parametrize a stationary AR process
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
ARtransPars(raw)
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.
(ar <- ARtransPars(rnorm(5))) all( Mod(polyroot(c(1,-ar))) > 1 ) # TRUE
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