simu.VAR1 | R Documentation |
Simulate data of size n and dimension p from a VAR1 model (without change point) with Gaussian i.i.d. error terms.
simu.VAR1(sigma, p, n, A, vzero = NULL)
sigma |
A |
p |
An |
n |
An |
A |
A |
vzero |
A |
A p-by-n matrix.
Daren Wang
Wang, Yu, Rinaldo and Willett (2019) <arxiv:1909.06359>
p = 10 sigma = 1 n = 100 A = matrix(rnorm(p*p), nrow = p)*0.1 # transition matrix simu.VAR1(sigma, p, n, A)
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