ts_VAR_t: Synthetic Student's t VAR data with missing values
In imputeFin: Imputation of Financial Time Series with Missing Values and/or Outliers
Description
Synthetic Student's t VAR data with missing values for
estimation and imputation testing purposes.
Usage
1
Format
List with the following elements:
- Y
200 x 3 zoo object as a Student's t VAR time series.
- phi0
True value of the constant vector in the VAR model.
- Phii
True value of the coefficient matrix in the VAR model.
- scatter
True value of the scatter matrix (of the noise distribution) in the VAR model.
- nu
True value of the degrees of freedom (of the noise distribution) in the VAR model.
imputeFin documentation built on Feb. 20, 2021, 9:07 a.m.
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Description
Synthetic Student's t VAR data with missing values for estimation and imputation testing purposes.
Usage
1 |
Format
List with the following elements:
- Y
200 x 3
zooobject as a Student's t VAR time series.- phi0
True value of the constant vector in the VAR model.
- Phii
True value of the coefficient matrix in the VAR model.
- scatter
True value of the scatter matrix (of the noise distribution) in the VAR model.
- nu
True value of the degrees of freedom (of the noise distribution) in the VAR model.
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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