simulateVAR {sparsevar} | R Documentation |
VAR simulation
Description
This function generates a simulated multivariate VAR time series.
Usage
simulateVAR(N, p, nobs, rho, sparsity, mu, method, covariance, ...)
Arguments
N |
dimension of the time series. |
p |
number of lags of the VAR model. |
nobs |
number of observations to be generated. |
rho |
base value for the covariance matrix. |
sparsity |
density (in percentage) of the number of nonzero elements of the VAR matrices. |
mu |
a vector containing the mean of the simulated process. |
method |
which method to use to generate the VAR matrix. Possible values
are |
covariance |
type of covariance matrix to use in the simulation. Possible
values: |
... |
the options for the simulation. These are:
|
Value
A a list of NxN matrices ordered by lag
data a list with two elements: series
the multivariate time series and
noises
the time series of errors
S the variance/covariance matrix of the process