indsim | R Documentation |

A dataset containing values of 10 interested variables over 50 periods.

indsim

An object of class `matrix`

(inherits from `array`

) with 50 rows and 10 columns.

## Generated by the following R codes set.seed(1000) n = 50; p = 10 Precision = diag(rep(2, p)) # generate precision matrix for (i in 1 : (p - 1)){ temp = ifelse(i > 2 * p / 3, 0.4, 1) Precision[i, i + 1] = temp Precision[i + 1, i] = temp } # R=-cov2cor(Precision) + diag(rep(2, p)) # real partial correlation matrix Sigma = solve(Precision) # generate covariance matrix rho = 0.5 y = matrix(0, n, p) # generate observed time series data Epsilon = MASS::mvrnorm(n, rep(0, p), Sigma) y[1, ] = Epsilon[1, ] for (i in 2 : n){ y[i, ] = rho * y[i - 1, ] + sqrt(1 - rho^2) * Epsilon[i, ] } indsim = y

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