dataVAR1: Sample data from a VAR(1) model
In wvanwie/ragt2ridges: Ridge Estimation of Vector Auto-Regressive (VAR) Processes

Description Usage Arguments Value Author(s) See Also Examples

Sample data from a VAR(1) model.

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

`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.

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

Wessel N. van Wieringen <w.vanwieringen@vumc.nl>

ridgeVAR1.

# 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)