• density
• ARk_t

template<class scalartype_>
class density::ARk_t< scalartype_ >

Stationary AR(k) process.

Parameters

phi_ Vector of length k with parameters.

Class to evaluate the negative log density of a stationary 
AR(k)-process with parameter vector phi=[phi_1,...,phi_k]:
x[t]=phi_1*x[t-1]+...+phi_k*x[t-k]+eps[t]
where eps[t]~N(0,sigma^2). The parameter sigma^2 is chosen to 
obtain V(x[t])=1 so that the class actually specifies a correlation
model.
Examples: ARk(phi) <-- simple mean zero variance 1 AR(k) process.
Steady state initial distribution is found by (e.g. k=3)
[gamma(1)] [gamma(0) gamma(1) gamma(2)] [phi1]
[ .... ] = [gamma(1) gamma(0) gamma(1)] * [phi2]
[gamma(3)] [gamma(2) gamma(1) gamma(0)] [phi3]

Definition at line 495 of file density.hpp.