tvp_sim: Simulate a time-varying VAR model.
In zackfisher/multivar: Penalized Estimation of Multiple-Subject Vector Autoregressive (multi-VAR) Models
tvp_sim R Documentation
Simulate a time-varying VAR model.
Description
Simulate a time-varying VAR model.
Usage
tvp_sim(n, sigma, mat_total, mat_tvp, int = 0)
Arguments
n
Integer. The time series length.
sigma
Matrix. Innovation covariance matrix.
mat_total
Matrix. Transition matrix.
mat_tvp
A logical matrix indicating which parameters are time-varying.
zackfisher/multivar documentation built on Sept. 25, 2024, 3:16 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
| tvp_sim | R Documentation |
Simulate a time-varying VAR model.
Description
Simulate a time-varying VAR model.
Usage
tvp_sim(n, sigma, mat_total, mat_tvp, int = 0)
Arguments
n |
Integer. The time series length. |
sigma |
Matrix. Innovation covariance matrix. |
mat_total |
Matrix. Transition matrix. |
mat_tvp |
A logical matrix indicating which parameters are time-varying. |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.