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.