.getSqrtInvCpp | R Documentation |
Get the prewhitening matrix for a single data location
.getSqrtInvCpp(AR_coefs, nTime, avg_var)
AR_coefs |
a length-p vector where p is the AR order |
nTime |
(integer) the length of the time series that is being prewhitened |
avg_var |
a scalar value of the residual variances of the AR model |
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