https://github.com/cran/graphicalVAR
Tip revision: 19ab2d14a3bb5e3488ed946dc4191d32c64bcf52 authored by Sacha Epskamp on 19 June 2015, 00:00:00 UTC
version 0.1.3
version 0.1.3
Tip revision: 19ab2d1
gVARsimulator.R
graphicalVARsim <- function(
nTime, # Number of time points
beta,
kappa,
init = 0,
intercepts = 0,
warmup = 100){
stopifnot(!missing(beta))
stopifnot(!missing(kappa))
Nvar <- ncol(kappa)
init <- rep(init, length = Nvar)
intercepts <- rep(intercepts, length = Nvar)
totTime <- nTime + warmup
Data <- matrix(NA, totTime, Nvar)
Data[1,] <- init
Sigma <- solve(kappa)
for (t in 2:totTime){
Data[t,] <- t(intercepts + beta %*% Data[t-1,]) + rmvnorm(1, rep(0,Nvar), Sigma)
}
return(Data[-seq_len(warmup), ,drop=FALSE])
}