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This function simulates random drift matrices from the multivariate normal distribution. The function ensures that the generated drift matrices are stable using TestPhi().

Usage

SimPhiN(n, phi, vcov_phi_vec_l)

Arguments

n

Positive integer. Number of replications.

phi

Numeric matrix. The drift matrix (\(\boldsymbol{\Phi}\)).

vcov_phi_vec_l

Numeric matrix. Cholesky factorization (t(chol(vcov_phi_vec))) of the sampling variance-covariance matrix of \(\mathrm{vec} \left( \boldsymbol{\Phi} \right)\).

Value

Returns a list of random drift matrices.

Author

Ivan Jacob Agaloos Pesigan

Examples

n <- 10
phi <- matrix(
  data = c(
    -0.357, 0.771, -0.450,
    0.0, -0.511, 0.729,
    0, 0, -0.693
  ),
  nrow = 3
)
vcov_phi_vec_l <- t(chol(0.001 * diag(9)))
SimPhiN(n = n, phi = phi, vcov_phi_vec_l = vcov_phi_vec_l)
#> [[1]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3190641  0.03503587  0.02114061
#> [2,]  0.7662336 -0.48145138 -0.01244207
#> [3,] -0.4364891  0.77205909 -0.68438869
#> 
#> [[2]]
#>            [,1]        [,2]         [,3]
#> [1,] -0.3394220  0.05248648  0.062837536
#> [2,]  0.7783253 -0.58011157  0.004901415
#> [3,] -0.4661241  0.76906195 -0.650828177
#> 
#> [[3]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3162300 -0.00156391 -0.02669320
#> [2,]  0.7447820 -0.55108987  0.01353968
#> [3,] -0.4417182  0.77294645 -0.68782445
#> 
#> [[4]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3425154  0.02838189  0.01433782
#> [2,]  0.7610361 -0.53387189  0.02186514
#> [3,] -0.4443914  0.76735112 -0.68585070
#> 
#> [[5]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3786049  0.02613982  0.04793082
#> [2,]  0.7696926 -0.53921143  0.02534600
#> [3,] -0.4986717  0.73863608 -0.69941142
#> 
#> [[6]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.2926671  0.06408923 -0.06179864
#> [2,]  0.7507533 -0.49265442 -0.04235275
#> [3,] -0.4439021  0.74013590 -0.72922121
#> 
#> [[7]]
#>            [,1]        [,2]         [,3]
#> [1,] -0.3528044  0.01056376  0.018110223
#> [2,]  0.7481218 -0.49991164  0.006361179
#> [3,] -0.3979919  0.69905303 -0.687941615
#> 
#> [[8]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3312080 -0.03685342  0.01274581
#> [2,]  0.7317721 -0.49631504  0.01093565
#> [3,] -0.4326465  0.74995482 -0.66396122
#> 
#> [[9]]
#>            [,1]        [,2]         [,3]
#> [1,] -0.3610083 -0.03531067 -0.033914896
#> [2,]  0.7960642 -0.50036814  0.003523242
#> [3,] -0.3862721  0.73619880 -0.727511046
#> 
#> [[10]]
#>            [,1]        [,2]        [,3]
#> [1,] -0.3484965  0.01285986 -0.02193760
#> [2,]  0.7208592 -0.51842387 -0.00686005
#> [3,] -0.5307973  0.68193233 -0.71138142
#>