search

jeswheel / arima2

Software for maximum likelihood estimation of ARIMA models
GNU General Public License v3.0
2 stars 0 forks source link

Coef Sampling #3

Closed jeswheel closed 6 months ago

jeswheel commented 6 months ago

Modify the sample_ARMA_coef function (and internals) by adding an option that constrains the generated coefficients to not have redundant parameters.

jeswheel commented 6 months ago

After further inspection of the source code, the generated ARMA models were already constrained so that the minimum acceptable distance between inverted roots of the AR and MA polynomials was 0.05. Version 3.2.0+ of the package now includes an option so that this can be controlled via the function argument: min_inv_root_dist. See commit ID: c80ff006549b87666eb0b7d165ba05b47f314b35 for more details.