Simulates data from the graphical VAR model

Description

Simulates data from the graphical VAR model, see graphicalVAR for details.

Usage

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graphicalVARsim(nTime, beta, kappa, mean = rep(0, ncol(kappa)), init =
                 mean, warmup = 100, lbound = rep(-Inf, ncol(kappa)),
                 ubound = rep(Inf, ncol(kappa)))

Arguments

nTime

Number of time points to sample

beta

The Beta matrix to use

kappa

The Kappa matrix to use

mean

Means to use

init

Initial values

warmup

The amount of samples to use as warmup (not returned)

lbound

Lower bound, at every time point values below this bound are set to the bound.

ubound

Upper bound, at every time point values above this bound are set to the bound.

Value

A matrix containing the simulated data.

Author(s)

Sacha Epskamp <mail@sachaepskamp.com>