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On sampling stationary autoregressive model parameters uniformly in r2 value

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  • Fitzgibbon, L.J.

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.

Suggested Citation

  • Fitzgibbon, L.J., 2006. "On sampling stationary autoregressive model parameters uniformly in r2 value," Statistics & Probability Letters, Elsevier, vol. 76(4), pages 349-352, February.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:4:p:349-352
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    References listed on IDEAS

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    1. Barndorff-Nielsen, O. & Schou, G., 1973. "On the parametrization of autoregressive models by partial autocorrelations," Journal of Multivariate Analysis, Elsevier, vol. 3(4), pages 408-419, December.
    2. M. C. Jones, 1987. "Randomly Choosing Parameters from the Stationarity and Invertibility Region of Autoregressive–Moving Average Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(2), pages 134-138, June.
    3. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
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