Simulate from multivariate MixAR models
mixVAR_sim.Rd
Simulate data from multivariate MixAR models under the assumptions of multivariate Gaussian innovarion
Details
mixVAR_sim simulates a series of length nskip + n
and returns
the last n
values. init
provides initial values for the
algorithm. Each row is considered as a time point. The number of rows
must be at least equal to the maximal AR order.
Examples
AR <- list()
AR[[1]] <- array(c(0.5,-0.3,-0.6,0,0,0.5,0.4,0.5,-0.3), dim = c(3,3,1))
AR[[2]] <- array(c(-0.5,0.3,0,1,0,-0.5,-0.4,-0.2, 0.5), dim = c(3,3,1))
prob <- c(0.75, 0.25)
shift <- cbind(c(0,0,0), c(0,0,0))
Sigma1 <- cbind(c(1, 0.5, -0.4), c(0.5, 2, 0.8), c(-0.4, 0.8, 4))
Sigma2 <- cbind(c(1,0.2, 0), c(0.2, 2, -0.15), c(0, -0.15, 4))
Sigma <- array(c(Sigma1, Sigma2), dim = c(3,3,2))
m <- new("MixVARGaussian", prob=prob, vcov=Sigma, arcoef=AR, shift=shift)
mixVAR_sim(m, n=500, init=matrix(rep(0,3), ncol=3), nskip=100, flag=FALSE)
#> [,1] [,2] [,3]
#> -1.588611753 -0.537883397 -2.66468079
#> -1.537259752 -1.102505690 3.06454501
#> 0.924844611 2.110519962 -0.78397834
#> 0.020516152 -0.755478364 -1.35084266
#> 0.140918440 -1.252806248 -1.65964454
#> -0.199891993 1.187465826 -3.17239253
#> -1.595615547 -1.594606469 0.68267173
#> -0.866077906 1.305414059 0.55488188
#> -0.755075889 1.205375844 1.60742793
#> 0.737659696 -0.824815726 -1.38361985
#> -0.065819121 0.226944227 -1.21722096
#> -0.217878572 1.206391570 0.17317976
#> 0.196518437 2.620234393 2.38844581
#> 0.486242356 3.339167842 -2.19148845
#> -0.740341447 -2.878786215 0.98886148
#> -0.059950808 0.798735331 -3.38122247
#> -3.936249794 -2.627169805 0.37796616
#> -1.933835307 0.451394337 2.25758391
#> 0.593287054 -0.134023213 -1.11282286
#> -0.258084142 -0.333248773 -0.14722043
#> 1.340819340 -2.713651284 1.69330574
#> 1.595379945 1.721311316 -2.63109931
#> -0.719559410 1.379880889 -2.63469983
#> -2.524139475 -2.217252595 2.01249933
#> 2.093966622 2.343710496 -2.47088220
#> 4.144656149 0.698268776 -4.04472355
#> -1.200393980 -3.996016272 2.93015123
#> 1.589815000 3.082206318 -1.82418572
#> 0.439630689 -0.460876621 1.66439353
#> -1.112879795 1.165123140 0.68922114
#> 1.627357140 -1.786639568 2.96903078
#> 2.954071456 -1.223765439 -3.85735952
#> 0.455194748 -1.835431530 0.31284227
#> -0.400603471 -1.662471649 -0.91959744
#> -2.009096329 0.352480177 1.47380851
#> -1.054043194 0.278923594 0.06814031
#> -1.243378556 1.126088041 3.50097717
#> 1.806813385 -2.617968232 0.36701347
#> -3.517362700 0.593549046 0.59990766
#> -0.246317795 -1.710609952 -2.35046221
#> -1.206686467 -2.272997114 -0.44918174
#> -1.530672694 -0.688637529 -1.01145976
#> 0.307507805 1.185795162 0.38986655
#> -0.402387820 0.899149651 -2.09788087
#> -2.203872503 -2.509407107 -0.61262037
#> -1.901061591 1.886663276 0.50317191
#> -1.312441958 1.627979513 2.60303622
#> -0.999484373 0.776554819 1.92645914
#> 2.378859819 4.094106137 2.15832993
#> 1.755444567 -2.188912287 -1.90207422
#> 0.013968982 -0.839675194 -1.30377031
#> -0.094313179 1.977700596 1.17931653
#> 0.041311977 -0.011306305 0.81700764
#> -1.055949273 1.724697026 -0.22198288
#> -1.471762971 -0.881226192 3.27847304
#> -2.768150328 -1.878539175 2.72380108
#> -0.135710931 2.183253522 -2.61986220
#> 2.727840706 -1.920056266 -4.01095105
#> 0.907457102 -2.190288808 -1.34046049
#> -0.949459725 -2.176010715 -3.24164929
#> -1.589865299 -0.198652788 1.22859100
#> -0.829407482 1.804222273 1.48747743
#> 1.072015064 0.288219848 -1.62080777
#> -0.366394341 -0.346961492 3.16013996
#> 1.125544245 2.239344391 -0.94902253
#> 2.599397042 1.464583821 0.26747565
#> -0.070732021 0.680153483 -0.37130193
#> -0.599633564 -0.357731287 -0.77438186
#> -0.772928483 0.990135335 1.06790307
#> -0.180918754 2.333819719 0.66352339
#> 1.796913738 -1.555190023 -0.84221253
#> -2.247120454 0.771816390 1.24347101
#> 2.329869407 -0.429178362 2.20716665
#> 2.450730869 -3.462626078 -3.88928438
#> 0.108040647 -4.324858878 -4.30344558
#> -1.236773341 -3.158825089 -4.51430218
#> -1.808458609 -2.734788468 0.93041722
#> 0.184774183 3.240347026 0.14269282
#> 1.115434360 1.633999376 0.84346302
#> -0.868399855 0.231725594 2.81116675
#> -1.775928392 0.491246069 1.12322739
#> -0.585241750 0.896635347 2.92276800
#> 2.757712609 3.880907004 -1.82103571
#> 1.445933806 -2.324214035 -1.32538745
#> 0.439842439 -0.833560204 -0.13100589
#> 2.236742784 1.466097531 -2.03811926
#> 1.420976043 3.032769365 0.53417069
#> -0.326300728 0.689045692 0.31280822
#> -0.844410452 -1.479585838 -0.34768313
#> 0.409969743 2.243441988 0.39676693
#> 1.791302370 -0.289922543 0.99261457
#> 0.152947918 0.307286383 0.73424377
#> 1.667325687 0.849032510 -2.51916996
#> -0.904243765 -3.298507450 -2.72717482
#> -0.841113438 -0.014646180 -4.82990243
#> -1.551179059 -2.457542731 0.25611391
#> 0.201152412 1.685315211 -0.14271104
#> 0.664818854 -0.910971275 -4.11779877
#> 0.573302940 -2.225768249 -1.44337264
#> -4.124903665 -0.300731185 -0.69052873
#> -3.270835331 4.058695880 5.07173825
#> 2.230563228 -0.569048396 2.54391417
#> 2.768936093 1.323037552 -2.09157496
#> 1.005128890 -3.312987575 -2.01098670
#> -1.325329044 -1.729572837 -1.25149895
#> -0.687974247 0.997805648 3.20405359
#> 1.630556846 3.944745692 2.34189384
#> 1.289756959 1.690355969 1.46770052
#> 1.046220915 -0.718991291 0.55027300
#> 0.578824731 -0.280978800 0.57418389
#> 2.080482534 0.890435202 -5.76196624
#> -1.793829392 -2.611715593 -0.17541220
#> -1.220959277 -0.259752000 3.42486818
#> 0.010148924 1.921359878 0.35378767
#> 1.282687844 0.296717771 1.18052375
#> -0.062151832 0.815934273 -0.19923324
#> 0.145946454 -0.076628262 3.63710179
#> -1.733848034 -0.519666857 1.64005587
#> 0.393063310 0.531010960 0.36351423
#> 0.570717517 -1.456052825 -0.02901766
#> -0.076331839 1.814377803 0.78162875
#> -1.203970229 1.331555196 1.64721797
#> -0.366230960 0.249676406 -1.62393190
#> -0.818352318 -2.897169070 0.08538432
#> -0.052394983 0.722120126 0.66640184
#> 0.722935233 3.151141218 -1.84792451
#> 0.895398982 -3.270386996 -1.07745436
#> -1.431469866 -2.733234437 0.84880969
#> 1.028098547 2.823073837 -1.78586796
#> -0.024914833 0.618397164 3.69414407
#> 2.220978945 1.910584495 -3.13490695
#> 2.347042593 1.095943416 -3.82324409
#> 2.964440950 0.599298352 -1.94116591
#> 0.495585678 2.787546562 -0.58143311
#> 2.089212624 0.505523197 0.10828634
#> 1.682019232 -0.176860490 -5.21568833
#> -1.290302112 -3.137039272 0.02029045
#> -1.101624957 -2.238767884 -0.62036789
#> -0.463727175 -1.369552099 -6.06218324
#> -3.013293553 -2.842425487 1.36486412
#> -1.329241770 1.660241137 -1.64885535
#> -0.610963183 1.108239244 4.11369317
#> 2.029786822 1.935025600 -0.57500276
#> 2.067770290 0.316316417 0.56689245
#> 2.340491378 -0.895654202 -1.55816640
#> -0.166216722 0.763509677 -0.04874295
#> 0.020414771 1.719275229 1.09468021
#> 1.281088807 -1.150069644 -1.11895774
#> -1.351574703 -0.532460583 1.01571294
#> -1.512486047 1.237474920 1.19910501
#> -0.327099090 1.604368942 4.38823462
#> 0.461509402 1.010119859 2.23246060
#> 0.330455664 -1.147589358 6.01602984
#> 2.339748206 2.307556544 -1.93514498
#> 1.098424845 -0.809721094 -1.36265446
#> 0.311179652 0.998093319 -1.19636040
#> -0.429744277 -0.087302670 -0.31995250
#> 0.830383156 0.833244339 0.41605820
#> -1.360942731 -0.545766772 3.87234909
#> -1.645906559 -0.242426972 0.33086253
#> -2.280210611 1.627210559 4.05889554
#> -0.855938426 3.600828686 2.07029208
#> 0.608973764 3.357928029 0.19786156
#> 0.593795817 0.536762371 -0.70213757
#> 0.860472136 -0.123855391 2.35362167
#> -1.581473721 -1.192817814 -1.40931769
#> -2.395194077 -1.252443551 -3.01703703
#> -0.239339354 2.532647141 -1.32712935
#> 1.015598857 2.015233371 2.24439614
#> 1.348554361 1.257593572 1.11808310
#> 0.767048419 -2.598187259 0.11468112
#> -2.430459487 0.008275402 1.81607471
#> 1.376003527 -1.294147737 3.98510500
#> 2.377368468 -0.552888111 -3.50702393
#> 0.238751027 1.751716338 -4.22683571
#> -3.503494010 -2.542094711 3.63672620
#> -0.980248056 3.369232038 1.09339004
#> 0.980763128 1.933471369 2.42475345
#> -0.294747901 0.073059493 1.46585004
#> 0.615900890 -0.227302318 0.11034870
#> 0.559133298 1.575791315 -0.25354085
#> -0.118173627 -0.960586944 -1.21184548
#> 0.829845661 -0.195627820 -1.39923636
#> 0.502133031 0.217355011 -0.85839461
#> -0.087626172 -1.231040303 -3.86250448
#> 0.515890098 0.830719829 -1.84136694
#> -1.142077828 0.037013801 0.17779379
#> 0.210138599 3.215444170 -0.01438602
#> -0.462976630 -0.084639607 1.06389962
#> -0.220204050 1.176782622 0.54897067
#> -0.117611061 -2.239832074 0.94172614
#> -0.901521432 -0.690889306 1.00607123
#> -0.220426143 0.243316656 1.27746959
#> 2.038513397 2.106005847 -2.08813114
#> -0.112381035 -1.701243256 -2.06999735
#> -1.244152681 -1.125439725 -0.23569339
#> -0.598152491 0.780653555 2.02734509
#> 0.288080669 0.011485223 -0.29716987
#> -0.217522821 0.119122755 2.80493683
#> -0.179331432 1.897059716 3.49239454
#> 2.825382313 0.164679815 -2.01087489
#> 0.061038295 -2.501032837 -1.74453778
#> -1.482231682 -1.351055107 -0.62036398
#> -1.516397976 -0.658895577 -0.80244273
#> 1.683424062 0.879994085 0.37244313
#> 0.163618133 3.614973399 2.12016284
#> 1.712780033 -1.355969819 -0.03117424
#> 1.576391317 0.332498246 -0.51410844
#> 0.301959389 0.021822457 -0.90485017
#> -0.546711702 0.250883389 -3.32895015
#> -1.654556477 -0.502311018 1.28754625
#> 1.410238267 2.414376444 -1.37332987
#> 0.059036011 -1.040601612 1.31761783
#> -0.052349319 -0.393419051 -1.54174279
#> 0.586847059 0.847413321 -0.75846499
#> -0.069867255 -2.105298489 -1.45898366
#> -1.197265943 -3.158049735 -4.77748990
#> 0.149625163 1.269300264 -2.48966901
#> 3.292460524 3.289733822 -7.05679858
#> 5.714712956 4.220641875 -4.92176956
#> 0.268845265 -6.027775102 -1.77566789
#> -1.573076978 -4.167660146 -4.34717410
#> -1.995748752 -2.119582132 2.91856576
#> 0.073084864 2.317476777 0.23818605
#> -0.882833883 -1.287926921 0.15864639
#> 1.437979419 1.315599438 -0.51840796
#> -0.315546424 0.301642051 -0.12965659
#> -0.613689684 -1.508525505 -1.65857930
#> -1.253486123 0.015772981 2.14990543
#> -0.915615943 -0.467435804 -3.92592600
#> -1.796665709 -0.616443021 2.15765143
#> 0.691100766 -0.019358299 0.18890625
#> 1.822927683 0.974076752 0.54765441
#> 0.377866836 -1.133034437 -3.10689898
#> -0.737022682 0.075959698 -0.41449037
#> -0.043387457 0.709044514 -2.35093691
#> -2.538296548 -2.676906123 1.66283245
#> -0.046564300 3.015000978 -2.45789672
#> -2.165572240 -3.797509062 5.01922552
#> 1.857694122 2.466984867 -2.93403347
#> 2.726614341 3.664620515 -2.70291302
#> 0.732947033 -0.941644781 2.48200962
#> -3.905837754 0.669572523 -0.17058408
#> 2.499224020 -3.869977485 0.09322791
#> 0.078860166 -4.343659856 -7.15830107
#> -4.109580002 -3.097743481 0.90103753
#> -1.187567093 1.156783234 0.76680995
#> 0.260939746 0.441883061 -1.21377858
#> 0.800217703 2.369061477 4.66310869
#> 3.099226231 2.008783294 -1.13284100
#> 0.750535987 -1.940393406 -0.63514042
#> -4.026225230 0.193763322 1.12030022
#> -2.827511228 -0.953384852 1.17407333
#> -2.980233378 0.987267410 2.36707468
#> 0.558317632 -1.420000877 0.35721732
#> -1.525734544 -1.337241783 0.79786970
#> -2.108690073 -1.740824789 -0.39059349
#> -0.162489341 0.596981784 1.36986078
#> 1.295564162 0.108569821 -2.46248538
#> -0.481343685 -1.712849012 2.75426857
#> 0.183607023 1.145343065 -0.03979404
#> -0.642905494 -0.128991816 1.55568723
#> -0.932986588 -2.261103504 1.52050693
#> -2.849211030 -3.469301645 2.51838508
#> -0.596491683 -0.291318788 -2.26028791
#> -1.585043430 -1.618085878 1.87043211
#> -1.708366910 -0.375487640 -1.30173387
#> 0.135131083 -0.272894354 -1.05700748
#> 0.983008218 -0.393391214 0.89418346
#> 1.818681499 1.297841598 1.44498250
#> -0.847070697 2.526902077 -3.64266767
#> -2.989107389 -2.539381332 3.33122743
#> -0.547511132 3.358248393 0.57452602
#> 4.200146954 1.931853768 -4.30615341
#> 1.372949334 -3.753868934 -2.06833801
#> -1.997016095 -3.096682096 -2.60773380
#> -4.067641428 -1.519841899 1.65363247
#> -2.410666560 1.405191395 -1.27498303
#> 3.140706376 0.886147806 -5.73824093
#> 1.074055156 -4.647080931 1.49006617
#> -3.787473055 -1.105128905 1.76206826
#> 1.032800930 -2.515207995 -0.44295347
#> 2.301078306 2.202081251 -1.99907827
#> 2.992096848 1.433201957 0.30407055
#> -1.049749480 -0.242533742 2.26745250
#> 1.051065241 2.451873732 -0.12068190
#> 0.363298703 -0.720826571 2.72695089
#> -2.151956081 2.321369182 2.80908976
#> 1.344984254 4.292329823 1.73045995
#> -0.566079733 -0.635352218 2.11681173
#> 1.636871398 2.001373762 0.91152566
#> 2.209792523 1.780299240 1.33360650
#> 0.035723251 1.848425590 -1.27687649
#> -0.350182141 -1.148696656 2.04975531
#> 1.097332595 1.107512823 -1.02949451
#> 0.133256633 -2.041815593 1.87368917
#> -2.544203610 0.469118257 1.59517906
#> -2.224802547 2.089371706 1.24717153
#> 3.487782630 2.075168297 -2.82116532
#> 1.839022130 -2.663514843 -0.62645482
#> -3.905646293 -0.020033543 -1.25990219
#> -2.197285116 1.173487878 2.44065144
#> -1.834883278 1.055633127 2.14125183
#> -0.707277331 0.352848474 -1.36242647
#> 1.789176946 -0.973480473 5.50685135
#> 4.031564355 2.223379527 -3.40668107
#> 0.028037608 -2.690449461 -0.08895572
#> -2.202179380 -2.833003584 -0.33655849
#> -3.936791227 -1.395440164 4.57165860
#> -2.886405722 -1.886741949 6.10759064
#> 1.939161581 5.561804820 -2.71673284
#> 6.325979413 1.376561809 -1.44697641
#> 4.828937892 -1.616079755 -0.86427774
#> 1.685139157 -2.604639663 -4.56654435
#> -2.262100430 -3.010728076 -0.79132275
#> -0.661338766 -0.073751451 -1.88799842
#> -0.854383028 1.863271183 2.29666708
#> 0.720304321 3.365305051 4.52115623
#> 3.724431282 1.827583263 -0.63674463
#> -0.158053053 0.911021782 -0.32141650
#> -0.900511021 -1.883712446 -0.04194847
#> 1.416134309 3.026949744 -0.95020180
#> 1.111326439 -0.916538300 0.54745183
#> -2.492078540 -2.138731959 4.40391877
#> 0.925114671 0.587610229 -2.15444018
#> 1.088199275 -0.801571928 0.55042825
#> -0.636482683 1.657017478 1.88830407
#> 0.910300828 3.682162157 4.32897967
#> 2.356108017 1.661478034 -0.06724440
#> 1.230534141 -1.429715885 0.48414383
#> 0.471350802 2.011406940 -5.75515206
#> 4.245802593 1.199584508 -2.78583689
#> 1.191633928 0.500452312 -0.73400591
#> 0.315810126 2.061756973 0.72853733
#> 0.620418727 0.019978071 0.08839217
#> -0.879901031 0.521495890 0.86418131
#> -1.340711835 0.518979307 3.19188941
#> 1.423148308 0.816145879 1.18991702
#> -0.213785278 0.786112470 -1.57402790
#> -1.295690203 -3.780767032 -0.94990055
#> -2.951512242 1.661619342 -0.75911140
#> -1.256533595 0.358969979 0.10776559
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#> 0.946788227 1.437513377 3.19530760
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#> 2.159913641 3.276714311 0.08654678
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#> 0.943665149 3.147794089 -1.04645049
#> 0.753013845 -0.298932783 1.10952946
#> 2.232249548 1.033007495 -0.27912571
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#> -0.603801512 -0.412589734 1.43889029
#> 0.643711025 1.730870109 0.42372458