R/dataexample.R

In bigtime: Sparse Estimation of Large Time Series Models

#' VARX Time Series Example (\code{varx.example})
#'
#' The data consists of a 200x3 matrix of endogenous variables, \code{Y.varx},
#' and a 200x3 matrix of exogenous variables, \code{X.varx}.
#'
#' @format Two matrices, \code{X.varx} and \code{Y.varx}, both of dimension 200x3
"X.varx"

#' VARX Time Series Example (\code{varx.example})
#'
#' The data consists of a 200x3 matrix of endogenous variables, \code{Y.varx},
#' and a 200x3 matrix of exogenous variables, \code{X.varx}.
#'
#' @format Two matrices, \code{X.varx} and \code{Y.varx}, both of dimension 200x3
"Y.varx"

#' VAR Time Series Example (\code{var.example})
#'
#' The data consists of a 200x5 data matrix, \code{Y.var}, and was simulated from a sparse
#' VAR model with HLag sparsity pattern.
#'
#' @format A matrix of dimension 200x5
"Y.var"


#' VARMA Time Series Example (\code{varma.example})
#'
#' The data consists of a 200x3 data matrix, \code{Y.varma}, and was simulated from a
#' sparse VARMA model.
#'
#' @format A matrix of dimension 200x3
"Y.varma"