var_sim {multivar}R Documentation

Simulate a stationary Vector Autoregressive (VAR) time series.

Description

Simulate a stationary Vector Autoregressive (VAR) time series.

Usage

var_sim(T, A, Sigma)

Arguments

T

An integer giving the number of timepoints.

A

A d x d transition matrix.

Sigma

A d x d innovation covariance matrix.

Examples


theta    <- diag(c(.7,.8,.9,.6,.7,.9))
data     <- t(var_sim(100, theta, diag(.1,6)))
datalag  <- embed(data, 2)
b        <- datalag[,1:6]
A        <- datalag[,7:12]
A_est    <- fista_sparse(A, b, 1, theta, niter = 10, backtrack = TRUE)$out.x
var_forecast(t(b), 2, A_est)


[Package multivar version 0.0.1 Index]