用PyMC3生成VAR(p)的随机矩阵

import numpy as np
import pymc3 as pm

p = 2  # VAR(p)模型中的p值
n = 3  # 时间序列的数量
T = 100  # 时间步数

# 生成随机的VAR(p)系数矩阵
coefficients = np.random.randn(p, n, n)

# 生成随机的初始状态向量
initial_state = np.random.randn(n)

# 生成随机的噪声向量
noise = np.random.randn(T, n)

# 生成随机的VAR(p)时间序列
time_series = np.zeros((T, n))
time_series[:p] = initial_state

for t in range(p, T):
    for lag in range(p):
        time_series[t] += np.dot(time_series[t-lag-1], coefficients[lag])
    time_series[t] += noise[t]