Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive–Moving Average Models

M. C. Jones

Journal of the Royal Statistical Society Series C, 1987, vol. 36, issue 2, 134-138

Abstract: Choice of appropriate parameter configurations for time series simulations is not always easy. One possible approach when simulating from autoregressive–moving average models is to choose parameter values from a uniform distribution on the stationarity and invertibility region associated with such models. In this paper, well‐known time series results are applied to this problem to give a neat method which comprises generating partial autocorrelations independently distributed as appropriate beta variates and applying a standard transformation to obtain the parameters from these.

Date: 1987
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