[R] dse1 package simulate example

From: Samuel E. Kemp <sekemp_at_glam.ac.uk>
Date: Mon 23 May 2005 - 23:03:17 EST


Hi,

I am trying to use the simulate function in the dse1 package to generate VAR (multivariate) models. I *think* the first example gives a simple VAR(2) time series, here is the code.....

> AR <- array(c(1, .5, .3, 0, .2, .1, 0, .2, .05, 1, .5, .3)
,c(3,2,2))
> VAR <- ARMA(A=AR, B=diag(1,2))
> print(VAR)

A(L) =
1+0.5L1+0.3L2 0+0.2L1+0.05L2
0+0.2L1+0.1L2 1+0.5L1+0.3L2

B(L) =
1 0
0 1

> simData <- simulate(VAR)

> simData$output[1:4,]

            [,1] [,2]

[1,]  0.3153194 -1.3748001
[2,] -0.6794556  1.0139211
[3,] -0.9385841 -0.4116173
[4,]  1.3702363  0.3295771

However, I really do not understand what is going on here. I can see that simulate has returned two output time series y_{1,t} and y_{2,t}.

What univariate models are y_{1,t} and y_{2,t} and how is the relationship (i.e. multivariate) between the two series defined?

Any help would be greatly appreciated.

Best regards,

Sam.

        [[alternative text/enriched version deleted]]



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