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gmvarkit (version 2.2.0)

random_coefmats: Create random VAR-model (dxd) coefficient matrices A.

Description

random_coefmats generates random VAR model coefficient matrices.

Usage

random_coefmats(d, how_many, scale)

Value

Returns ((howmanyd2)×1) vector containing vectorized coefficient matrices (vec(A1),...,vec(Ahowmany)). Note that if how_many==p, then the returned vector equals ϕm.

Arguments

d

the number of time series in the system.

how_many

how many (d×d) coefficient matrices A should be drawn?

scale

non-diagonal elements will be drawn from mean zero normal distribution with sd=0.3/scale and diagonal elements from one with sd=0.6/scale. Larger scale will hence more likely result stationary coefficient matrices, but will explore smaller area of the parameter space. Can be for example 1 + log(2*mean(c((p-0.2)^(1.25), d))).