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R/VAR1.sim.R
In VAR.etp: VAR Modelling: Estimation, Testing, and Prediction
Defines functions
VAR1.sim
VAR1.sim <-
function(a0,a1,n,sigu)
{
nob <- 50+n
x <- matrix(0,nrow=nob,ncol=2)
tem <- chol(sigu)
for (i in 2:nob)
x[i,] <- a0 + a1 %*% matrix(x[i-1,]) + crossprod(tem, matrix(rnorm(2),nrow=2))
return(x[51:nob,])
}
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VAR.etp documentation built on Aug. 31, 2023, 9:08 a.m.
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Defines functions VAR1.sim
VAR1.sim <-
function(a0,a1,n,sigu)
{
nob <- 50+n
x <- matrix(0,nrow=nob,ncol=2)
tem <- chol(sigu)
for (i in 2:nob)
x[i,] <- a0 + a1 %*% matrix(x[i-1,]) + crossprod(tem, matrix(rnorm(2),nrow=2))
return(x[51:nob,])
}
Try the VAR.etp package in your browser
Any scripts or data that you put into this service are public.
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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