Description Usage Arguments Details Value Examples
Generate a multivariate time series data set using the given VAR model.
1 | simVARmodel(numT, model, burnin = 0)
|
numT |
Number of observed time points, T. |
model |
A list object with Coef, Sigma, dof; Coef is a list with A and c; A is a list object of K-by-K coefficient matrices and c is a length-K vector. Sigma is a K-by-K scale matrix and dof is a degree of freedom for multivariate t-distribution for noise. |
burnin |
Number of initial points which are not included in the final values. |
First, it creates (p+burnin+numT x K) data, then it remove the first (p+burnin) vectors. Finally, it returns (numT x K) data.
A numT-by-K matrix
1 2 3 |
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