generate_data: generate_data

In EMLI: Computationally Efficient Maximum Likelihood Identification of Linear Dynamical Systems

generate_data

Description

Generates data according to the one-dimensional cumulative structural equation model with shock-error output measurement equation and assumptions of normality and independence with given model parameter values.

Usage

generate_data(n, L, sigma, mu)

Arguments

n	The number of time moments to generate the data for (vector of length 1, finite positive integer).
L	Factor loadings ((m + 1) x k matrix of finite numeric elements: the first m rows correspond to the input measurement equation; the last row corresponds to the transition equation).
sigma	Standard deviations of the error/noise terms ((m + 2) x 1 matrix of finite non-negative numeric elements: the first m rows correspond to the input measurement equation; the row before the last one corresponds to the transition equation; the last row corresponds to the output measurement equation).
mu	Intercept terms ((m + 1) x 1 matrix of finite numeric elements; the first m rows correspond to the input measurement equation; the last row corresponds to the transition equation).

Value

An (n + 1) x (m + 1) data frame of numeric elements (except for row 1 columns 1 to m that contain NA's) containing observed input (columns 1 to m) and output (column m + 1) data.

Examples

set.seed(1)

m <- 4
k <- 2

L <- matrix(runif((m + 1) * k, min = -10, max = 10), nrow = m + 1)
sigma <- matrix(runif(m + 2, min = 0, max = 10), nrow = m + 2)
mu <- matrix(runif(m + 1, min = -10, max = 10), nrow = m + 1)
generate_data(10, L, sigma, mu)

EMLI documentation built on Nov. 21, 2022, 1:06 a.m.