rnormSIGMA_cond: This function generates random numbers from iid multivariate...

In puchen8229/VARs: What the Package Does (One Line, Title Case)

Description

This function generates random numbers from iid multivariate conditional normal distribution with covariance matrix Sigma, given i-th component has the value of v, this will be an (n-1) dimensional random number

Usage

rnormSIGMA_cond(T, sigma, I, v, switch)

Arguments

T	: length of the generated time series
sigma	: (n x n) covariance matrix of the normal series
I	: index of the conditioning component
v	: the value of the conditioning component

Value

 : T x (n-1) matrix of iid conditional normal time series

puchen8229/VARs documentation built on Dec. 31, 2020, 2:10 a.m.