simStateSpace (version 1.2.14)

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

Description

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

Usage

SimNuN(n, nu, vcov_nu_l)

Value

Returns a list of random intercept vectors.

Arguments

n

Positive integer. Number of replications.

nu

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

vcov_nu_l

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

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(), SimIotaN(), SimPhiN(), SimPhiN2(), SimPhiNCovariate(), SimSSMFixed(), SimSSMIVary(), SimSSMLinGrowth(), SimSSMLinGrowthIVary(), SimSSMLinSDEFixed(), SimSSMLinSDEIVary(), SimSSMOUFixed(), SimSSMOUIVary(), SimSSMVARFixed(), SimSSMVARIVary(), SpectralRadius(), TestPhi(), TestPhiHurwitz(), TestStability(), TestStationarity()

Examples

n <- 10
nu <- c(0, 0, 0)
vcov_nu_l <- t(chol(0.001 * diag(3)))
SimNuN(n = n, nu = nu, vcov_nu_l = vcov_nu_l)