simulateDSFM2D: Simulate Responses for Two-Dimensional DSFM

In MarcGumowski/dysefamor: Estimation Algorithm of Dynamic Semiparametric Factor Model

Description

This function simulates responses for two-dimensional DSFM.

Usage

simulateDSFM2D(n = 10, x1 = 1:25/25, x2 = 1:25/25, L = 3, var = 0.05)

Arguments

n	the number of observations.
x1	a vector of the first dimension of covariates. They will be constant through time
x2	a vector of the second dimension of covariates. They will be constant through time
L	the number of factors for the DSFM.
var	the error \varepsilon_{t,j} of the models. Allows to control the noise.

Details

This function is used for example purpose, only few parameters are available to control the simulation. The factors loadings are generated using three independant AR(1) process and the factors functions are predefined to be orthogonals.

Value

simulateDSFM2D returns a list containing:

dataSim	an object of class "DSFM2DData", output of the DSFM2DData function. This object can be immediatly used by the DSFM algorithm.
YSim	the simulated data in a more usual format.
Z_tl	the simulated factor loadings.
m_l	the factors functions used to compute the DSFM.

See Also

DSFM2DData, DSFM, DSFM2D.

MarcGumowski/dysefamor documentation built on May 7, 2019, 2:47 p.m.