simVARmodel {VARshrink}

Generate multivariate time series data using the given VAR model

Description

Generate a multivariate time series data set using the given VAR model.

Usage

simVARmodel(numT, model, burnin = 0)

Arguments

numT

Number of observed time points, T.

model

A list object with Coef, Sigma, dof; Coef is a list with A and c; A is a list object of K-by-K coefficient matrices and c is a length-K vector. Sigma is a K-by-K scale matrix and dof is a degree of freedom for multivariate t-distribution for noise.

burnin

Number of initial points which are not included in the final values.

Details

First, it creates (p+burnin+numT x K) data, then it remove the first (p+burnin) vectors. Finally, it returns (numT x K) data.

Value

A numT-by-K matrix

Examples

myCoef <- list(A = list(matrix(c(0.5, 0, 0, 0.5), 2, 2)), c = c(0.2, 0.7))
myModel <- list(Coef = myCoef, Sigma = diag(0.1^2, 2), dof = Inf)
simVARmodel(numT = 100, model = myModel, burnin = 10)