ARtransPars {dlm} | R Documentation |

## 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

### 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.

### Value

The vector of autoregressive coefficients of a stationary AR(p) process
corresponding to the parameters in `raw`

.

### Author(s)

Giovanni Petris, GPetris@uark.edu

### References

Jones, 1987. Randomly choosing parameters from the
stationarity and invertibility region of autoregressive-moving average
models. *Applied Statistics*, 36.

### Examples

(ar <- ARtransPars(rnorm(5)))
all( Mod(polyroot(c(1,-ar))) > 1 ) # TRUE

[Package

*dlm* version 1.1-5

Index]