VoseTimeMultiAR1

See also: Time series in ModelRisk, Vose Multivariate Time Series window

VoseTimeMultiAR1({Means}, {Phi}, {CovMatrix}, {Period 0 log returns}, Log Return, {Initial Values}, Data_in_rows)

 

 

 

Array function that simulates from a Multivariate Auto-Regressive time series model of order 1.

  • {Means} - array of mean log returns per period for each variable.

  • {Phi} - matrix of autoregressive parameters.

  • {CovMatrix} - covariance matrix of log returns.

  • {Period 0 log returns} - log returns at period zero.

  • Log Return - an optional parameter. Function generates log returns if set to TRUE, or variable values if set to FALSE or omitted.

  • {Initial Values} - array of starting values (at time zero) for each variable.

  • Data_in_rows - optional parameter that specifies if the data is in rows (TRUE) or columns (FALSE, default).

Equations

where:

k - number of variables

- k x 1 random vector, if   is the value of the variable at time t, then is the log return defined as

- k x 1 vector of means

- k x k autoregressive coefficient matrix

- k x 1 vector of uncorrelated random variables, which is defined as follows:

 

VoseFunctions for this time series

VoseTimeMultiAR1 - generates an array of random values from this time series.

VoseTimeMultiAR1Object - creates an object for this time series.

 

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