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.
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