Generate a VAR(L) coefficient array as a 3-d list — morie_generate_var_coefficients • rmorie

Generate a VAR(L) coefficient array as a 3-d list

Usage

morie_generate_var_coefficients(
  p,
  lags,
  rng,
  spectral_radius = 0.8,
  decay = 0.6
)

Arguments

p: Number of variables.
lags: Number of lag matrices.
rng: morie_sync_rng() environment.
spectral_radius: Per-lag target spectral radius.
decay: Geometric decay rate of spectral radius across lags.

Value

A list of length lags, each a p x p matrix.

Examples

# See the package vignettes for usage examples:
#   vignette(package = "rmorie")