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 p-by-p 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.

A p-by-n matrix.

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]