simulate_from_regime allows to simulate observations from a single
regime of a STVAR model
simulate_from_regime(
stvar,
regime = 1,
nsim = 1,
init_values = NULL,
use_transweights = TRUE
)use_transweights=FALSE:Returns a \((nsim \times d)\) matrix such that the \(t\)th row contains the \(t\)th simulated observation.
use_transweights=TRUE:Returns a \((p \times d)\) such that the \(t\)th row constrains the \(t\)th observations.
an object of class 'stvar'.
an integer in \(1,...,M\) determining the regime from which to simulate observations from
number of observations to be simulated.
a size \((p\times d)\) matrix specifying the initial values, where d is the number of time series in the system. The last row will be used as initial values for the first lag, the second last row for second lag etc. If not specified, initial values are set to the unconditional mean of the regime.
if TRUE will calculate the transition weights of the provided model, simulate
\(p + 100\) observations more, calculate the transition weights for the last \(100\) observations, and
return the the consecutive \(p\) observations have the highest transition weight for the specified regime.
Does not take random number generator seed as an argument to avoid unwanted behavior,
because simulate_from_regime is mostly called from simulate.stvar
that takes a seed as its argument, and simulate_from_regime calls simulate.stvar to simulate the observations.
Specifically, simulate_from_regime generates a STVAR model from the given regime, sets up the initial values to the
(if not specified), and then calls simulate.stvar accordingly.
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simulate.stvar