random_arcoefs {uGMAR} | R Documentation |
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 |
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.
[Package uGMAR version 3.5.0 Index]