Description Usage Arguments Value Author(s) References See Also Examples
View source: R/mutualInfoVAR2.r
Evaluate, within the VAR(2) model, the mutual information between a variate at one time point and the variates at a future time point.
1 | mutualInfoVAR2(A1, A2, SigmaE, T)
|
A1 |
A |
A2 |
A |
SigmaE |
Covariance |
T |
Positive |
Object of class numeric
with elements corresponding to the mutual informations.
Wessel N. van Wieringen <w.vanwieringen@vumc.nl>
Miok, V., Wilting, S.M., Van Wieringen, W.N. (2019), “Ridge estimation of network models from time-course omics data”, Biometrical Journal, 61(2), 391-405.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 | # 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)
# fit VAR(1) model
VAR2hat <- ridgeVAR2(Y, 1, 1, 1)
# impulse response analysis
mutualInfoVAR2(VAR2hat$A1, VAR2hat$A2, solve(symm(VAR2hat$P)), 10)
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