ARtransPars: Function to parametrize a stationary AR process
Description
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
Usage
ARtransPars(raw)
Arguments
raw
a vector of length p
Value
The vector of autoregressive coefficients of a stationary AR(p) process
corresponding to the parameters in raw.
Details
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.
References
Jones, 1987. Randomly choosing parameters from the
stationarity and invertibility region of autoregressive-moving average
models. Applied Statistics, 36.