how to simulate a matrix

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jiji
Posts: 5
Joined: Fri Aug 05, 2011 3:56 pm

how to simulate a matrix

Postby jiji » Wed Aug 10, 2011 3:35 pm

HELLO,
please how can I simulate a matrix with time varying coefficients.
for example, A(t)=A(t-1)+v(t) / v(t)~iidN(0,1)
I can simulate one coefficient of the matrix; for example a1:
smpl @all
series a1=0
smpl @first+1 @last
a1=a1(-1)+nrnd

my problem is how to simulate the matrix?
thanks a lot.

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13586
Joined: Tue Sep 16, 2008 5:38 pm

Re: how to simulate a matrix

Postby EViews Gareth » Wed Aug 10, 2011 3:55 pm

Your question is not well defined.

A(t)=A(t-1)+v(t) / v(t)~iidN(0,1)

would indicate that A is a series that follows a simple process based upon an error term that is normally distributed. The code you provided does just that.

I don't see where matrices come into it.


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