A: Generator for Simulated Multivariate Time Series
In BigVAR: Dimension Reduction Methods for Multivariate Time Series
A R Documentation
Generator for Simulated Multivariate Time Series
Description
Coefficient matrix for a stationary simulated multivariate time series
Details
Example generator matrix adapted from Table 3.2 of Gredenhoff and Karlsson (1997)
Author(s)
Will Nicholson
References
Gredenhoff, Mikael, and Sune Karlsson. "Lag-length selection in VAR-models using equal and unequal lag-length procedures." Computational Statistics 14.2 (1999): 171-187.
BigVAR documentation built on Jan. 9, 2023, 5:08 p.m.
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| A | R Documentation |
Generator for Simulated Multivariate Time Series
Description
Coefficient matrix for a stationary simulated multivariate time series
Details
Example generator matrix adapted from Table 3.2 of Gredenhoff and Karlsson (1997)
Author(s)
Will Nicholson
References
Gredenhoff, Mikael, and Sune Karlsson. "Lag-length selection in VAR-models using equal and unequal lag-length procedures." Computational Statistics 14.2 (1999): 171-187.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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