Getting VAR coefficients from ACF/CCF functions
I have auto-correlation functions and cross-correlation function estimated from a multivariate dataset (but I don’t have the data – only the ACF/CCF). Does anyone know if there exist functions in R for estimating the parameters of a VAR(p) model from this? Or any advice for how to calculate these from the available information? I need this to be able to simulate from an AR-model.
R: getting VAR coefficients from ACF/CCF functions
I have auto-correlation functions and cross-correlation function estimated from a multivariate dataset (but I don’t have the data – only the ACF/CCF). Does anyone know if there exist functions in R for estimating the parameters of a VAR(p) model from this? Or any advice for how to calculate these from the available information? I need this to be able to simulate from an AR-model.