I am struggling to get my matrices conformable when calculating a Monte Carlo Simulation using the recserar function. How can I set this up?
1 Answer
0
Below is an example of recserar usage:
new;
n = 10;
//Create multivariate random numbers
sigma = { 1 -0.3,
-0.3 1 };
means = { 0, 0 };
err = rndMVn(n, means, sigma);
//Create predictor matrix
//with 3 random predictor columns
//and a column of ones for the intercept
x = ones(n,1)~rndn(n,3);
//Create the intercept and 3 coefficients
b = { 1,
2,
3,
4 };
//Simulate linear model
x_sim = x * b + err;
//First values of output 'y'
y0 = { 0 0 };
rho = { 0.5 0.3 };
//Create autoregressive recursive series
y = recserar(x_sim,y0,rho);Does that help?
Your Answer
1 Answer
0
Below is an example of recserar usage:
new;
n = 10;
//Create multivariate random numbers
sigma = { 1 -0.3,
-0.3 1 };
means = { 0, 0 };
err = rndMVn(n, means, sigma);
//Create predictor matrix
//with 3 random predictor columns
//and a column of ones for the intercept
x = ones(n,1)~rndn(n,3);
//Create the intercept and 3 coefficients
b = { 1,
2,
3,
4 };
//Simulate linear model
x_sim = x * b + err;
//First values of output 'y'
y0 = { 0 0 };
rho = { 0.5 0.3 };
//Create autoregressive recursive series
y = recserar(x_sim,y0,rho);Does that help?