fsvsim
generates simulated data from a factor SV model.
fsvsim(
n = 1000,
series = 10,
factors = 1,
facload = "dense",
idipara,
facpara,
heteroskedastic = rep(TRUE, series + factors),
df = Inf
)
The value returned is a list object of class fsvsim
holding
The simulated data, stored in a n
times m
matrix with
colnames 'Sim1', 'Sim2', etc.
The simulated factors, stored in a r
times r
matrix.
Factor loadings matrix.
Latent factor log-variances for times 1 to n
.
Initial factor log-variances for time 0.
The parameters of the factor volatility processes.
Latent idiosyncratic log-variances for times 1 to n
.
Initial idiosyncratic log-variances for time 0.
The parameters of the idiosyncratic volatility processes.
Length of the series to be generated.
Number of component series m
.
Number of factors r
.
Can either be a matrix of dimension m
times r
or one of the keywords "dense" and "sparse". If "dense" is chosen,
a (rather) dense lower triangular factor loadings matrix is randomly
generated. If "sparse" is chosen, a (rather) sparse lower triangular
factor loadings matrix is randomly generated.
Optional matrix of idiosyncratic SV parameters
to be used for simulation. Must have exactly three columns containing
the values of mu
, phi
and sigma
for each
of m
series, respectively. If omitted, plausible values are
generated.
Optional matrix of idiosyncratic SV parameters
to be used for simulation. Must have exactly two columns containing
the values of phi
and sigma
for each of r
factors,
respectively. If omitted, plausible values are generated.
Logical vector of length m+r
. When
TRUE
, time-varying volatilities are generated; when
FALSE
, constant volatilities (equal to mu
) are generated.
If not equal to Inf, the factors are misspecified (come from a t distribution instead of a Gaussian). Only used for testing.