Description Usage Arguments Details Value Author(s) References Examples

Simulation from an m-variate AR(p) model

1 |

`w` |
vector of intercept terms |

`A` |
matrix of AR coefficients |

`C` |
noise covariance matrix |

`N` |
length of output time series |

`...` |
additional arguments |

Simulation from an m-variate AR(p) model given by

*X[t]=w + A1 X[t-1] +...+ Ap X[t-p] +e[t]*

where

X[t]=[X1(t)...Xm(t)]' is a vector of length m

w is a m-length vector of intercept terms

A=[A1 ... Ap] is a m x mp matrix of autoregressive coefficients

e(t) is a m-length uncorrelated noise vector with mean 0 and m x m covariance matrix C

returns a list containg the N simulated observations for each of the m time series

S. M. Barbosa

Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software, 27, 1, 27-57.

Schneider, T. and Neumaier, A. (2001), A Matlab package fo the estimation of parameters and eigenmodes of multivariate autoregressive models, 27, 1, 58-65.

Lutkepohl, H. (1993), Introduction to Multiple Time Series Analysis. Springer-Verlag, Berlin.

1 2 3 4 |

```
Loading required package: MASS
```

mAr documentation built on May 30, 2017, 6:50 a.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.