[R] simulating stable VAR process

statquant2 statquant at gmail.com
Wed Jan 4 14:08:29 CET 2012


Hello all,
I looking at package dse or vars or mAr
I know how to simulate a VAR(p) process, my problem is that most of those
processes are unstable (not weakly stationary).
Do anybody know how to generate a random VAR (or VARMA even better) process
that is weakly stationary?

Thanks

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