genvar

Generate VAR time series data

Syntax

   [X,E] = genvar(A,E,trunc)

Arguments

See also Common variable names and data structures.

input

   A          VAR coefficients matrix
   E          residuals (single-trial) time series
   trunc      number of initial observations to truncate (default: 0)

output

   X          VAR (single-trial) time series with residuals E
   E          possibly truncated residuals

Description

Generates a vector autoregression (VAR) time series with coefficients A and residuals E; implements:

Initial values for the outputs X are set to the residuals E. Optionally truncate the first trunc observations.

Note: If available will use the C routine genvar_mex.c to perform the actual computation; otherwise a (slower) Matlab-coded routine is used. The existence of a genvar mex file for the current platform is checked for in the startup script.

See also

var_to_tsdata | startup

MVGC Toolbox v1.0. © Lionel Barnett and Anil K. Seth, 2012.
See file license.txt for licensing terms.