UNIFORM RANDOM PARAMETER GENERATION OF STABLE MINIMUM-PHASE REAL ARMA(P, Q) PROCESSES

An algorithm to randomly generate the parameters of stable invertible autoregressive moving average processes of order (p,q)-ARMA (p,q)-is p resented, The AR and MA portions are independent of each other, and th eir respective parameters have jointly uniform distributions with supp ort defined by stability and invertibility considerations, The uniform density insures that each possible model is equally likely, The algor ithm uses the Levinson-Durbin recursion to guarantee the poles and zer os are inside the unit circle, thus avoiding coefficient resampling ty pical of ''generate and test'' methods, To initialize the Levinson-Dur bin recursion for each model order, the reflection coefficients are ge nerated using a rejection sampling technique.