simu.VAR1 {changepoints}  R Documentation 
Simulate from a VAR1 model (without change point).
Description
Simulate data of size n and dimension p from a VAR1 model (without change point) with Gaussian i.i.d. error terms.
Usage
simu.VAR1(sigma, p, n, A, vzero = NULL)
Arguments
sigma 
A numeric scalar representing the standard deviation of error terms.

p 
An integer scalar representing dimension.

n 
An integer scalar representing sample size.

A 
A numeric pbyp matrix representing the transition matrix of the VAR1 model.

vzero 
A numeric vector representing the observation at time 0. If vzero = NULL ,it is generated following the distribution of the error terms.

Value
A pbyn matrix.
Author(s)
Daren Wang
References
Wang, Yu, Rinaldo and Willett (2019) <arxiv:1909.06359>
Examples
p = 10
sigma = 1
n = 100
A = matrix(rnorm(p*p), nrow = p)*0.1 # transition matrix
simu.VAR1(sigma, p, n, A)
[Package
changepoints version 1.1.0
Index]