function m = mean_preserving_spread(autoregressive_parameter,sigma) % Computes the mean preserving spread for first order autoregressive process. % % The mean preserving spread m is a constant such that the mean of the process % % X_t = X^{\star} * e^{x_t - m} % x_t = \rho x_{t-1} + \varepsilon_t % \varepsilon_t \sim N(0,\sigma^2) % % is X^{\star}. This constant is such that the unconditional expectation of X_t is equal % to the deterministic steady state of X_t % % AUTHOR(S) % stephane DOT adjemian AT univ DASH lemans DOT fr % frederic DOT karame AT univ DASH evry DOT fr m = .5*sigma*sigma/(1-autoregressive_parameter*autoregressive_parameter);