mAr.sim: Simulation from a multivariate AR(p) model
Description
Simulation from an m-variate AR(p) model
Usage
mAr.sim(w, A, C, N, ...)
Arguments
w
vector of intercept terms
A
matrix of AR coefficients
C
noise covariance matrix
N
length of output time series
…
additional arguments
Value
returns a list containg the N simulated observations for each of the m time series
Details
Simulation from an m-variate AR(p) model given by
$$X[t]=w + A1 X[t-1] +...+ Ap X[t-p] +e[t]$$
where
X[t]=[X1(t)...Xm(t)]' is a vector of length m
w is a m-length vector of intercept terms
A=[A1 ... Ap] is a m x mp matrix of autoregressive coefficients
e(t) is a m-length uncorrelated noise vector with mean 0 and m x m covariance matrix C
References
Neumaier, A. and Schneider, T. (2001), Estimation of parameters and eigenmodes of multivariate autoregressive models. ACM Transactions on Mathematical Software, 27, 1, 27-57.
Schneider, T. and Neumaier, A. (2001), A Matlab package fo the estimation of parameters and eigenmodes of multivariate autoregressive models, 27, 1, 58-65.
Lutkepohl, H. (1993), Introduction to Multiple Time Series Analysis. Springer-Verlag, Berlin.