random_coefmats2 generates random VAR model coefficient matrices.
random_coefmats2(p, d, ar_scale = 1)a positive integer specifying the autoregressive order of the model.
the number of time series in the system.
a positive real number. Larger values will typically result larger AR coefficients.
Returns \(((pd^2)x1)\) vector containing stationary vectorized coefficient matrices \((vec(A_{1}),...,vec(A_{p})\).
The coefficient matrices are generated using the algorithm proposed by Ansley
and Kohn (1986) which forces stationarity. It's not clear in detail how ar_scale
affects the coefficient matrices. Read the cited article by Ansley and Kohn (1986) and
the source code for more information.
Ansley C.F., Kohn R. 1986. A note on reparameterizing a vector autoregressive moving average model to enforce stationarity. Journal of statistical computation and simulation, 24:2, 99-106.