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?