createA: Generation of the VAR(1) autoregression coefficient matrix.

In ragt2ridges: Ridge Estimation of Vector Auto-Regressive (VAR) Processes

Description

Generates autoregression coefficient matrices of the VAR(1) with various type of topologies

Usage

createA(p, topology, nonzeroA=0, nCliques=1, nHubs=1, 
        nBands=1, percZeros=0.9, stationary=TRUE)

Arguments

p	A positive integer specifying the dimension of the square matrix \mathbf{A}.
topology	Topology to impose on \mathbf{A}: a character equalling either clique, hub, chain, or random.
nonzeroA	Numeric, value that nonzero elements of \mathbf{A} will assume. If equal to zero, a random value from the interval [-1,1] is sampled.
nCliques	When topology="clique", this positive integer specifies number of cliques.
nHubs	When topology="hub", this positive integer specifies number of hubs.
nBands	When topology="chain", this positive integer specifies number of bands.
percZeros	When topology="random", the probability with which zero elements of \mathbf{A} are to be sampled.
stationary	A logical: should the generated \mathbf{A} be stationary?

Value

A matrix with autoregression coefficient matrix \mathbf{A} of the VAR(1) model.

Author(s)

Viktorian Miok, Wessel N. van Wieringen <[e-mail]>.

References

Miok, V., Wilting, S.M., Van Wieringen, W.N. (2016), "Ridge estimation of the VAR(1) model and its time series chain graph from multivariate time-course omics data", Biometrical Journal, 59(1), 172-191.

See Also

createS, dataVAR1.

Examples

# create the VAR(1) parameters
A  <- createA(10, topology="clique", nonzeroA=0.1, nClique=4)
Se <- createS(1000, 10, "star")

# sample data from the VAR(1) model with above parameters
Y <- dataVAR1(4, 8, A, Se)

ragt2ridges documentation built on Jan. 28, 2020, 5:08 p.m.