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Use this tag for any *on-topic* question that (a) involves `R` either as a critical part of the question or expected answer, & (b) is not *just* about how to use `R`.

1 vote
1 answer
1k views

Discretization simulation of a Wiener Process

I got some problems with this homework which I have totally no idea, never got into this field before and I really need some help. First, we have a wiener process like Which means the probability …
recon's user avatar
  • 23
1 vote
Accepted

How to generate a VAR(1) model?

I found out by myself here is the simplified version: > set.seed(777) > > phi = matrix(c(.2, -.6, .3, 1.1), 2) > > library(MASS) > at = mvrnorm(201, mu = c(0,0), Sigma = matrix(c(2, 1, 1, 1), 2)) …
recon's user avatar
  • 23
0 votes
1 answer
474 views

How to generate a VAR(1) model? [closed]

I already written the code but something went wrong and I don't know why... here is the code. > set.seed(777) > > n = 200 > k = 2 > p = 1 > > phi = matrix(c(.2, -.6, .3 …
recon's user avatar
  • 23
0 votes
0 answers
136 views

How to do the RESET test on an AR model?

Question 2.If I want to do the same thing on the model below which is a ar(2) model plus , how to fit this nonlinear model (by using R, thank you!)? …
recon's user avatar
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