simStateSpace (version 1.2.14)

SimIotaN: Simulate Intercept Vectors in a Continuous-Time Vector Autoregressive Model from the Multivariate Normal Distribution

Description

This function simulates random intercept vectors in a continuous-time vector autoregressive model from the multivariate normal distribution.

Usage

SimIotaN(n, iota, vcov_iota_l)

Value

Returns a list of random intercept vectors.

Arguments

n

Positive integer. Number of replications.

iota

Numeric vector. Intercept (\(\boldsymbol{\iota}\)).

vcov_iota_l

Numeric matrix. Cholesky factorization (t(chol(vcov_iota))) of the sampling variance-covariance matrix of \(\boldsymbol{\iota}\).

Author

Ivan Jacob Agaloos Pesigan

See Also

Other Simulation of State Space Models Data Functions: LinSDE2SSM(), LinSDECovEta(), LinSDECovY(), LinSDEMeanEta(), LinSDEMeanY(), ProjectToHurwitz(), ProjectToStability(), SSMCovEta(), SSMCovY(), SSMMeanEta(), SSMMeanY(), SimAlphaN(), SimBetaN(), SimBetaN2(), SimBetaNCovariate(), SimCovDiagN(), SimCovN(), SimNuN(), SimPhiN(), SimPhiN2(), SimPhiNCovariate(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), SpectralRadius(), TestPhi(), TestPhiHurwitz(), TestStability(), TestStationarity()

Examples

n <- 10
iota <- c(0, 0, 0)
vcov_iota_l <- t(chol(0.001 * diag(3)))
SimIotaN(n = n, iota = iota, vcov_iota_l = vcov_iota_l)