ts_VAR_t {imputeFin}

Synthetic Student's t VAR data with missing values

Description

Synthetic Student's t VAR data with missing values for estimation and imputation testing purposes.

Usage

data(ts_VAR_t)

Format

List with the following elements:

Y

200 x 3 zoo object as a Student's t VAR time series.

phi0

True value of the constant vector in the VAR model.

Phii

True value of the coefficient matrix in the VAR model.

scatter

True value of the scatter matrix (of the noise distribution) in the VAR model.

nu

True value of the degrees of freedom (of the noise distribution) in the VAR model.