View source: R/newVARmultieventRealization.R
newVARmultieventRealization | R Documentation |
Generates several realizations of a VAR model
newVARmultieventRealization(
var,
xprev = rnorm(var@VAR$K * var@VAR$p),
exogen = NULL,
nrealization = 10,
B = t(chol(cov(residuals(var)))),
extremes = TRUE,
type = 3,
noise = NULL
)
var |
A VAR model represented by a |
xprev |
previous status of the random variable |
exogen |
matrix containing the values of the "exogen" variables (predictor) for the generation |
nrealization |
number of realization (e.g. days to simulate). If |
B |
matrix of coefficients for the vector white-noise component |
extremes , type |
see |
noise |
stochastic noise to add for variabile generation. Default is |
a matrix of values
Emanuele Cordano, Emanuele Eccel
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