On sampling stationary autoregressive model parameters uniformly in r2 value

L.J. Fitzgibbon

Statistics & Probability Letters, 2006, vol. 76, issue 4, 349-352

Abstract: This paper describes a method of sampling stationary autoregressive models so that they are uniformly distributed in r2 value. A log-Gamma distribution, whose product density is uniformly distributed over [0,1], is used to sample partial autocorrelation parameters and obtain the desired result. This method can be used for the empirical evaluation of model selection and parameter estimation criteria.

Keywords: r-Squared; Autoregressive; Simulation; Product; of; random; variables; Product; distribution; Uniform; product; distribution; Log-Gamma; product; distribution (search for similar items in EconPapers)
Date: 2006
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