random_coefmats {gmvarkit} | R Documentation |
Create random VAR-model (dxd)
coefficient matrices A
.
Description
random_coefmats
generates random VAR model coefficient matrices.
Usage
random_coefmats(d, how_many, scale)
Arguments
d |
the number of time series in the system. |
how_many |
how many |
scale |
non-diagonal elements will be drawn from mean zero normal distribution
with |
Value
Returns ((how_many*d^2)x1)
vector containing vectorized coefficient
matrices (vec(A_{1}),...,vec(A_{how_many}))
. Note that if how_many==p
,
then the returned vector equals \phi_{m}
.
[Package gmvarkit version 2.1.3 Index]