Mutual information analysis of the VAR(1) model
Description
Evaluate, within the VAR(1) model, the mutual information between each variate at the current time point and those at a future time point.
Usage
1  mutualInfoVAR1(A, SigmaE, T)

Arguments
A 

SigmaE 
Covariance 
T 
Positive 
Value
Object of class numeric
with elements corresponding to the mutual informations. The jth element represents the mutual information of the jth variate at the current time point with all variates at the T
th time point from now.
Author(s)
Wessel N. van Wieringen <w.vanwieringen@vumc.nl>
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 timecourse omics data", Biometrical Journal, accepted.
See Also
ridgeVAR1
.
Examples
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18  # set dimensions
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)
# fit VAR(1) model
VAR1hat < ridgeVAR1(Y, 1, 1)
# impulse response analysis
mutualInfoVAR1(VAR1hat$A, solve(symm(VAR1hat$P)), T=5)
