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Simulate data from multivariate MixAR models under the assumptions of multivariate Gaussian innovarion

Usage

mixVAR_sim(model, n, init, nskip = 100, flag = FALSE)

Arguments

model

model from which to simulate, an object inheriting from class MixVAR.

n

size of simulated multivariate series.

init

initial values, a numeric matrix. If missing, a matrix of 0 values is generated.

nskip

number of burn-in values.

flag

if TRUE returns also the regimes.

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.

Value

a numeric matrix with n rows.

Author

Davide Ravagli

See also

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
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