simulateVAR: Simulate data from VAR model

In mlVAR: Multi-Level Vector Autoregression

Simulate data from VAR model

Description

Simulates a timeseries using VAR parameters

Usage

simulateVAR(pars,  means = 0, lags = 1, Nt = 100, init, residuals = 0.1,
                 burnin)

Arguments

pars	A square matrix or a list of square matrices indicating the VAR parameters
means	A vector of means.
lags	The lags to which the 'pars' argument parameters correspond. If 'pars' is a list then this argument should be a vector indicating which lags are represented by each element of the 'pars' list.
Nt	Number of time points
init	Initial setup. Must be a matrix of the first lags with rows corresponding to time points and columns corresponding to variables (e.g., if only two lags are used then the matrix must have two rows indicating the first two times points.)
residuals	Standard deviation of the residuals or a residual covariance matrix
burnin	Initial simulations not returned. Defaults to min(round(Nt/2), 100).

Author(s)

Sacha Epskamp ([e-mail]), Marie K. Deserno ([e-mail]) and Laura F. Bringmann ([e-mail])

mlVAR documentation built on May 31, 2023, 6:51 p.m.