Question: Simulation is helpful in learning vector time series. Define the matrice
Use the command
m1 = VARMAsim(300,arlags = c(1),phi = C,sigma = S);zt = m1$series to generate 300 observations from the VAR(1) model
where at are iid bivariate normal random variates with mean zero and Cov(at) = S.
• Plot the time series zt.
• Obtain the first five lags of sample CCMs of zt
