canonical.multivar-methods: Canonical VAR Fitting Function for multivar

In multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models

Canonical VAR Fitting Function for multivar

Description

Canonical VAR Fitting Function for multivar

Usage

canonical.multivar(object)

Arguments

object

multivar object built using ConstructModel.

Details

A function to fit a canonical VAR model to each individual dataset.

Value

A list of results.

See Also

constructModel,

Examples

# example 1 (run)
sim1  <- multivar_sim(
  k = 2,  # individuals
  d = 5,  # number of variables
  n = 20, # number of timepoints
  prop_fill_com = 0.1, # proportion of paths common
  prop_fill_ind = 0.05, # proportion of paths unique
  lb = 0.1,  # lower bound on coefficient magnitude
  ub = 0.5,  # upper bound on coefficient magnitude
  sigma = diag(5) # noise
)

model1 <- constructModel(data = sim1$data, weightest = "ols")
fit1 <- canonical.multivar(model1)

multivar documentation built on May 28, 2022, 1:08 a.m.