fsvsim {factorstochvol} | R Documentation |
fsvsim
generates simulated data from a factor SV model.
fsvsim(
n = 1000,
series = 10,
factors = 1,
facload = "dense",
idipara,
facpara,
heteroskedastic = rep(TRUE, series + factors),
df = Inf
)
n |
Length of the series to be generated. |
series |
Number of component series |
factors |
Number of factors |
facload |
Can either be a matrix of dimension |
idipara |
Optional matrix of idiosyncratic SV parameters
to be used for simulation. Must have exactly three columns containing
the values of |
facpara |
Optional matrix of idiosyncratic SV parameters
to be used for simulation. Must have exactly two columns containing
the values of |
heteroskedastic |
Logical vector of length |
df |
If not equal to Inf, the factors are misspecified (come from a t distribution instead of a Gaussian). Only used for testing. |
The value returned is a list object of class fsvsim
holding
The simulated data, stored in a n
times m
matrix with
colnames 'Sim1', 'Sim2', etc.
The simulated factors, stored in a r
times r
matrix.
Factor loadings matrix.
Latent factor log-variances for times 1 to n
.
Initial factor log-variances for time 0.
The parameters of the factor volatility processes.
Latent idiosyncratic log-variances for times 1 to n
.
Initial idiosyncratic log-variances for time 0.
The parameters of the idiosyncratic volatility processes.
This object can be passed to many plotting functions to indicate the data generating processes when visualizing results.