Simulate Intercept Vectors in a Discrete-Time Vector Autoregressive Model from the Multivariate Normal Distribution
Source:R/RcppExports.R
SimNuN.RdThis function simulates random intercept vectors in a discrete-time vector autoregressive model from the multivariate normal distribution.
See also
Other Simulation of State Space Models Data Functions:
LinSDE2SSM(),
LinSDECovEta(),
LinSDECovY(),
LinSDEMeanEta(),
LinSDEMeanY(),
ProjectToHurwitz(),
ProjectToStability(),
SSMCovEta(),
SSMCovY(),
SSMMeanEta(),
SSMMeanY(),
SimAlphaN(),
SimBetaN(),
SimBetaN2(),
SimCovDiagN(),
SimCovN(),
SimIotaN(),
SimPhiN(),
SimPhiN2(),
SimSSMFixed(),
SimSSMIVary(),
SimSSMLinGrowth(),
SimSSMLinGrowthIVary(),
SimSSMLinSDEFixed(),
SimSSMLinSDEIVary(),
SimSSMOUFixed(),
SimSSMOUIVary(),
SimSSMVARFixed(),
SimSSMVARIVary(),
SpectralRadius(),
TestPhi(),
TestPhiHurwitz(),
TestStability(),
TestStationarity()
Examples
n <- 10
nu <- c(0, 0, 0)
vcov_nu_l <- t(chol(0.001 * diag(3)))
SimNuN(n = n, nu = nu, vcov_nu_l = vcov_nu_l)
#> [[1]]
#> [1] 0.037935872 -0.004766437 0.013510904
#>
#> [[2]]
#> [1] 0.02954862 0.04305909 0.02114061
#>
#> [[3]]
#> [1] 0.008611313 0.035027771 0.017578026
#>
#> [[4]]
#> [1] -0.01612411 0.05248648 -0.06911157
#>
#> [[5]]
#> [1] 0.062837536 0.004901415 0.042171823
#>
#> [[6]]
#> [1] 0.040770037 -0.026217983 0.008281761
#>
#> [[7]]
#> [1] -0.04008987 0.04394645 -0.02669320
#>
#> [[8]]
#> [1] 0.005175554 0.004878003 0.014484618
#>
#> [[9]]
#> [1] 0.005608641 0.028381893 -0.022871889
#>
#> [[10]]
#> [1] 0.014337823 0.021865137 0.007149303
#>