Generate a stationarity-preserving AR coefficient matrix — morie_generate_ar_coefficients • rmorie

Generate a stationarity-preserving AR coefficient matrix

Usage

morie_generate_ar_coefficients(
  p,
  rng,
  spectral_radius = 0.8,
  diagonal_bias = 0.4
)

Arguments

p: Dimension (number of variables).
rng: An environment from morie_sync_rng().
spectral_radius: Target spectral radius < 1.
diagonal_bias: Mixture weight between diagonal autoregression (1) and full off-diagonal coupling (0).

Value

A p x p numeric matrix A.

Examples

# See the package vignettes for usage examples:
#   vignette(package = "rmorie")