sim_mvt {bvhar}

Generate Multivariate t Random Vector

Description

This function samples n x multi-dimensional t-random matrix.

Usage

sim_mvt(num_sim, df, mu, sig, method = c("eigen", "chol"))

Arguments

num_sim

Number to generate process.

df

Degrees of freedom.

mu

Location vector

sig

Scale matrix.

method

Method to compute \Sigma^{1/2}. Choose between "eigen" (spectral decomposition) and "chol" (cholesky decomposition). By default, "eigen".

Value

T x k matrix