MSTest (version 0.1.5)

simuNorm: Simulate normally distributed process

Description

This function simulates a normally distributed process.

Usage

simuNorm(mdl_h0, burnin = 0)

Value

List with simulated series and its DGP parameters.

Arguments

mdl_h0

List containing the following DGP parameters

• n: Length of series.

• mu: A (q x 1) vector of means.

• sigma: A (q x q) covariance matrix.

• q: Number of series.

• eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided.

• Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.

• betaZ: A (qz x q) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Examples

set.seed(1234)
# Define DGP 
mdl_norm <- list(n     = 1000, 
                 q     = 2,
                 mu    = c(5, -2),
                 sigma = rbind(c(5.0, 1.5),
                               c(1.5, 1.0)))

# Simulate process using simuNorm() function
y_norm_simu <- simuNorm(mdl_norm)

plot(y_norm_simu)