# mutualInfoVAR1: Mutual information analysis of the VAR(1) model In ragt2ridges: Ridge Estimation of Vector Auto-Regressive (VAR) Processes

## 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 Matrix \mathbf{A} of autoregression parameters. SigmaE Covariance matrix of the errors (innovations). T Positive numeric of length one specifying the future time point with which the mutual informations are to be evaluated.

## Value

Object of class numeric with elements corresponding to the mutual informations. The j-th element represents the mutual information of the j-th variate at the current time point with all variates at the T-th time point from now.

## Author(s)

Wessel N. van Wieringen <[email protected]>

## References

Miok, V., Wilting, S.M., Van Wieringen, W.N. (2017), "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.

ridgeVAR1.
  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 # 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)