Search Results
| Search type | Search syntax |
|---|---|
| Tags | [tag] |
| Exact | "words here" |
| Author |
user:1234 user:me (yours) |
| Score |
score:3 (3+) score:0 (none) |
| Answers |
answers:3 (3+) answers:0 (none) isaccepted:yes hasaccepted:no inquestion:1234 |
| Views | views:250 |
| Code | code:"if (foo != bar)" |
| Sections |
title:apples body:"apples oranges" |
| URL | url:"*.example.com" |
| Saves | in:saves |
| Status |
closed:yes duplicate:no migrated:no wiki:no |
| Types |
is:question is:answer |
| Exclude |
-[tag] -apples |
| For more details on advanced search visit our help page | |
Results tagged with vector-autoregression
Search options not deleted
user 238595
Vector Auto-Regression, a multivariate time-series model / method. Under VAR, each univariate time-series is a linear combination of its own previous values and the previous values of the other series.
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))
…
- 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 …
- 23