#' Generate multivariate trend component
#'
#' generates a component that is first difference stationary
#'
#' @param n length of series
#' @param Phi autoregressive parameter
#' @param Sig covariance martrix white noise component
#' @param burn burn in (defaults to 1000)
#'
#' @return Ndim x n matrix of observations
#' @export
#'
gen_trendComp = function(n, Phi, Sig, burn=1000){
N = n+burn
Ndim = dim(Sig)[1]
if(Ndim==1){ # handle univariate case first
w = rnorm(n = N, mean = 0, sd = as.numeric(sqrt(Sig)))
s = w[1]
for(i in 2:(N)){
new.s = Phi * s[i-1] - w[i]
s = c(s, new.s)
}
return(s[(burn+1):N])
} # end of univariate if() statement
w = rmvnorm(n = N+1, mean = rep(0,Ndim), sigma = Sig)
s = w[1:2, ] # Need at least 2 here or don't get matrix class object
for(i in 3:(N+1)){
new.s = Phi %*% s[i-1, ] - w[i, ]
s = rbind(s, t(new.s))
}
return(s[(burn+1):N, ])
}
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