dataVAR1: Sample data from a VAR(1) model

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

Description

Sample data from a VAR(1) model.

Usage

dataVAR1(n, T, A, SigmaE, TburnIn=1000)

Arguments

n	Positive numeric of length one: number of individuals to be sampled.
T	Positive numeric of length one: number of time points (per individual) to be sampled.
A	Matrix \mathbf{A} of autoregression parameters.
SigmaE	Covariance matrix of the errors (innovations).
TburnIn	Positive numeric of length one: number of time points used to burn in the process.

Value

A three dimensional array containing the data. The first, second and third dimensions correspond to covariates, time and samples, respectively.

Author(s)

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

See Also

ridgeVAR1.

Examples

# set dimensions (p=covariates, n=individuals, T=time points)
p <- 3; n <- 4; T <- 10

# set model parameters
SigmaE <- diag(p)/4
A      <- matrix(c(-0.1, -0.3,  0.6, 
                    0.5, -0.4,    0, 
                    0.3, -0.5, -0.2), byrow=TRUE, ncol=3)

# generate data
Y <- dataVAR1(n, T, A, SigmaE)

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