dataVAR2: Sample data from a VAR(2) model
In ragt2ridges: Ridge Estimation of Vector Auto-Regressive (VAR) Processes

Description Usage Arguments Value Author(s) See Also Examples

Sample data from a VAR(2) model.

1	dataVAR2(n, T, A1, A2, SigmaE, TburnIn=1000)

`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.
`A1`	A `matrix` \mathbf{A}_1 of lag one autoregression parameters.
`A2`	A `matrix` \mathbf{A}_2 of lag two 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.

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

Wessel N. van Wieringen <w.vanwieringen@vumc.nl>

dataVAR1, dataVAR2, ridgeVARX1, .

# set dimensions (p=covariates, n=individuals, T=time points)
p <- 3; n <- 12; T <- 10

# set model parameters
SigmaE <- diag(p)/4
A1     <- -createA(p, "clique", nCliques=1, nonzeroA=0.1)
A2     <- t(createA(p, "chain", nBands=1, nonzeroA=0.1))

# generate data
Y <- dataVAR2(n, T, A1, A2, SigmaE)