dataVAR1: Sample data from a VAR(1) model

Description Usage Arguments Value Author(s) See Also Examples

View source: R/dataVAR1.r

Description

Sample data from a VAR(1) model.

Usage

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dataVAR1(n, T, A, SigmaE, TburnIn=1000)

Arguments

n

Positive numeric of length one: number of individuals to be sampled.

T

Positive numeric of length one: number of time points (per individual) to be sampled.

A

Matrix \mathbf{A} of autoregression parameters.

SigmaE

Covariance matrix of the errors (innovations).

TburnIn

Positive numeric of length one: number of time points used to burn in the process.

Value

A three dimensional array containing the data. The first, second and third dimensions correspond to covariates, time and samples, respectively.

Author(s)

Wessel N. van Wieringen <[email protected]>

See Also

ridgeVAR1.

Examples

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# set dimensions (p=covariates, n=individuals, T=time points)
p <- 3; n <- 4; T <- 10

# set model parameters
SigmaE <- diag(p)/4
A      <- matrix(c(-0.1, -0.3,  0.6, 
                    0.5, -0.4,    0, 
                    0.3, -0.5, -0.2), byrow=TRUE, ncol=3)

# generate data
Y <- dataVAR1(n, T, A, SigmaE)

wvanwie/ragt2ridges documentation built on May 4, 2019, 12:03 p.m.