Class MultivariateDLMSeries

    • Constructor Detail

      • MultivariateDLMSeries

        public MultivariateDLMSeries​(int T,
                                     MultivariateDLM model,
                                     MultivariateIntTimeTimeSeries Ut,
                                     NormalRVG rmvnorm)
        Simulate a multivariate controlled dynamic linear model process.
        Parameters:
        T - the length of the multivariate time series (states and observations) to generate
        model - a multivariate controlled dynamic linear model
        Ut - an m-dimensional time series of control variables (length = T); use null if no control
        rmvnorm - a standard multivariate Gaussian random vector generator (for seeding)
      • MultivariateDLMSeries

        public MultivariateDLMSeries​(int T,
                                     MultivariateDLM model,
                                     MultivariateIntTimeTimeSeries Ut)
        Simulate a multivariate controlled dynamic linear model process.
        Parameters:
        T - the length of the multivariate time series (states and observations) to generate
        model - a multivariate controlled dynamic linear model
        Ut - an m-dimensional time series of control variables (length = T); use null if no control
      • MultivariateDLMSeries

        public MultivariateDLMSeries​(int T,
                                     MultivariateDLM model)
        Simulate a multivariate controlled dynamic linear model process.
        Parameters:
        T - the length of the multivariate time series (states and observations) to generate
        model - a multivariate controlled dynamic linear model