sim.VAR.novol | R Documentation |
This function simulate data from a BVAR model without SV.
y_t = B x_t + SQRT(w_t) A^(-1) Sigma eps_t
sim.VAR.novol(
dist,
K = 5,
p = 2,
t_max = 1000,
b0 = 0.5,
a0 = 0.5,
h = 0,
nu = 6,
gamma = 0.5,
y0 = matrix(0, ncol = K, nrow = p),
sigma_G = NULL,
seednum = 0,
burn_in = 0
)
dist |
The variable specifies the BVAR error distribution. It should be one of c("Gaussian","Student","Skew.Student","Skew.Student", "MT","Skew.MT","MST"). |
K |
The number of variables in BVAR model. |
p |
The number of lags in BVAR model. |
t_max |
The number of observations |
b0 |
The coefficients of B matrix. |
a0 |
The coefficients of A matrix. |
h |
The log diag(Sigma) matrix. |
nu |
The degree of freedom. |
gamma |
The skewness from |
seednum |
The default seed. |
burn_in |
The discarded observations. |
A list of simulated data with its specification.
## Not run:
datagen <- sim.VAR.novol(dist="Gaussian")
y <- datagen$y
## End(Not run)
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