sim.restricted: Simulate data from a restricted factor model

In Dom-Owens-UoB/fnets: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series

Simulate data from a restricted factor model

Description

Simulate a factor-driven component that admits a restricted (static) representation; see the model (C2) in the reference.

Usage

sim.restricted(n, p, q = 2, heavy = FALSE, df = 5, lags = 1)

Arguments

n	sample size
p	dimension
q	number of unrestricted factors; number of restricted factors is given by 2 * q
heavy	if heavy = FALSE, common shocks are generated from rnorm whereas if heavy = TRUE, from rt with df = 5 and then scaled by sqrt(3 / 5)
df	if heavy = TRUE, common shocks are generated from rt with degrees of freedom given by df
lags	number of lags of common shocks used in the Factor vector

Value

a list containing

data	ts object with n rows and p columns
q	number of factors
r	number of restricted factors

References

Barigozzi, M., Cho, H. & Owens, D. (2024) FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series. Journal of Business & Economic Statistics (to appear).

Owens, D., Cho, H. & Barigozzi, M. (2024) fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling. The R Journal (to appear).

Examples

common <- sim.restricted(500, 50)

Dom-Owens-UoB/fnets documentation built on Nov. 22, 2024, 7:09 a.m.