Re: [R] simulating stable VAR process

gotcha john. thanks. On Sat, Jan 14, 2012 at 9:28 PM, John C Frain wrote: > Mark > > This should be reasonably straightforward. In the simplest case you wih to > draw a random complex number in the unit circle. This is best done in polar > coordinates. > > If r is a random mumber on (0,1) and t

Re: [R] simulating stable VAR process

Mark This should be reasonably straightforward. In the simplest case you wih to draw a random complex number in the unit circle. This is best done in polar coordinates. If r is a random mumber on (0,1) and theta a random number on (0, 2 Pi) then if x=r cos(theta) and y= r sin(theta), x + i y is i

Re: [R] simulating stable VAR process

Mark, statquant2 As I understand the question it is not to test if a VAR is stable but how to construct a VAR that is stable and automatically satisfies the condition Mark has taken from Lutkohl. The algorithm that I have set out will automatically satisfy that condition.The matrix that should be

Re: [R] simulating stable VAR process

I think that you must approach this in a different way. 1 Draw a set of random eigenvalues with modulus < 1 2 Draw a set of random eigenvalues vectors. 3 From these you can, with some matrix manipulations, derive the corresponding Var coefficients. If your original coefficients were drawn at rand

Re: [R] simulating stable VAR process

Hello Paul Thanks for the answer but my point is not how to simulate a VAR(p) process and check that it is stable. My question is more how can I generate a VAR(p) such that I already know that it is stable. We know a condition that assure that it is stable (see first message) but this is not a co

Re: [R] simulating stable VAR process

ome useful mathematics. Paul Date: Wed, 4 Jan 2012 05:17:05 -0800 (PST) From: statquant2 To:r-help@r-project.org Subject: Re: [R] simulating stable VAR process Message-ID:<1325683025141-4261210.p...@n4.nabble.com> Content-Type: text/plain; charset=us-ascii More specifically. I know that a

Re: [R] simulating stable VAR process

More specifically. I know that a condition for a VAR(p) process to be stable (weakly stationary) is that the companion form of the equation (see AWESOME Pfaff book analysis of integrated and cointegrated time series in R) as eigenvalues of modulus <1. My problem is that I want to generate such pr

[R] simulating stable VAR process

Hello all, I looking at package dse or vars or mAr I know how to simulate a VAR(p) process, my problem is that most of those processes are unstable (not weakly stationary). Do anybody know how to generate a random VAR (or VARMA even better) process that is weakly stationary? Thanks -- View this m