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Generate sample data from a VAR-LiNGAM model

Source: R/lingam_var.r
generate_varlingam_sample.Rd

Generates a 3-variable time series following a VAR-LiNGAM model with a strictly acyclic instantaneous structure B0, a lag-1 coefficient matrix M1, and non-Gaussian (uniform) errors.

Usage

generate_varlingam_sample(n = 1000, seed = NULL)

Arguments

n

number of time points to return (after burn-in)

seed

random seed (NULL allowed)

Value

list with data (data frame, n x 3), true_B0 (instantaneous matrix), and true_M1 (lag-1 coefficient matrix)

Examples

sample <- generate_varlingam_sample(n = 500, seed = 1)
head(sample$data)
#>            x0          x1          x2
#> 1 -0.08134851  0.89990884 -1.13842754
#> 2 -0.66767312  0.67124732 -1.58403973
#> 3 -1.20176088 -0.01791795 -1.37283242
#> 4  0.09281405  0.40345059  0.06231193
#> 5  0.32280573  0.61074550  0.65849296
#> 6 -0.24691355 -0.81843074  1.25860250