var_sim {multivar} | R Documentation |
Simulate a stationary Vector Autoregressive (VAR) time series.
var_sim(T, A, Sigma)
T |
An integer giving the number of timepoints. |
A |
A d x d transition matrix. |
Sigma |
A d x d innovation covariance matrix. |
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)