SimulateDLM {eDMA} | R Documentation |
Simulate from DLM of West and Harrison (1999).
Description
Simulate from DLM of West and Harrison (1999), as in Section 2 of Catania and Nonejad (2016).
Usage
SimulateDLM(iT, mX, vBeta0, mW, dV, dPhi)
Arguments
iT |
|
mX |
|
vBeta0 |
|
mW |
|
dV |
|
dPhi |
|
Details
The function returns a list
of two elements: vY
and mBeta
. vY
is a iT
x 1 numeric
vector of simulated dependent variables. mBeta
is a matrix
of dimension iT x ncol(mX)
of regressor coefficients.
Value
An object of the class list
.
Author(s)
Leopoldo Catania & Nima Nonejad
References
Catania, Leopoldo, and Nima Nonejad (2018). "Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package." Journal of Statistical Software, 84(11), 1-39. doi: 10.18637/jss.v084.i11.
West, Mike. Bayesian forecasting. John Wiley & Sons, Inc., 1999.
Examples
set.seed(7892)
iT <- 500
iK <- 3
dV <- 0.1
mW <- diag(iK + 1) * 0.01
dPhi <- 1
vBeta0 <- rep(0, iK + 1)
mX <- cbind(1, matrix(rnorm(iT * (iK)), iT, iK))
lOut <- SimulateDLM(iT, mX, vBeta0, mW, dV, dPhi)
vY <- lOut$vY