Simulate Random Vector Autoregressive Coefficients for a Stationary VAR(p) Model

This function generates stationary VAR(P) coefficients.

Usage

SimVARCoef(k, p)

Arguments

k

Positive integer. Number of autoregressive variables.

p

Positive integer. Number of lags.

See also

Other Simulation of Autoregressive Data Functions: CheckARCoef(), CheckVARCoef(), SimARCoef(), SimAR(), SimMVN(), SimPD(), SimVARExo(), SimVARZIPExo(), SimVARZIP(), SimVAR(), SimVariance(), YXExo(), YX()

Author

Ivan Jacob Agaloos Pesigan

Examples

set.seed(42)
SimVARCoef(k = 3, p = 2)
#>            [,1]        [,2]      [,3]       [,4]       [,5]       [,6]
#> [1,] -0.8299143 -0.59172421 0.3160931  0.1196792 -0.4116841 -0.4670195
#> [2,]  0.4478317 -0.43004167 0.8690710  0.6294415  0.5906853 -0.8226202
#> [3,]  0.3190983  0.02594328 0.4671797 -0.5589469  0.3477687 -0.6471376